Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent

oleh: Noah Simon, Jerome Friedman, Trevor Hastie, Rob Tibshirani

Format: Article
Diterbitkan: Foundation for Open Access Statistics 2011-03-01

Deskripsi

We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of l1 and l2 penalties (elastic net). Our algorithm fits via cyclical coordinate descent, and employs warm starts to find a solution along a regularization path. We demonstrate the efficacy of our algorithm on real and simulated data sets, and find considerable speedup between our algorithm and competing methods.