Weights only param

[markscsmith]

Description

Motivation and Context

• [ ] I have raised an issue to propose this change (required for new features and bug fixes)

Relates to #1852

Types of changes

• [ ] Bug fix (non-breaking change which fixes an issue)
• [X] New feature (non-breaking change which adds functionality)
• [ ] Breaking change (fix or feature that would cause existing functionality to change)
• [X] Documentation (update in the documentation)

Checklist

• [X] I've read the CONTRIBUTION guide (required)
• [X] I have updated the changelog accordingly (required).
• [X] My change requires a change to the documentation.
• [X] I have updated the tests accordingly (required for a bug fix or a new feature).
• [X] I have updated the documentation accordingly.
• [ ] I have opened an associated PR on the SB3-Contrib repository (if necessary)
• [ ] I have opened an associated PR on the RL-Zoo3 repository (if necessary)
• [X] I have reformatted the code using make format (required)
• [X] I have checked the codestyle using make check-codestyle and make lint (required)
• [X] I have ensured make pytest and make type both pass. (required)
• [X] I have checked that the documentation builds using make doc (required)

Note: You can run most of the checks using make commit-checks.

Note: we are using a maximum length of 127 characters per line

[markscsmith]

thanks araffin! Hopefully the reports will be few and the code never needed :)