[HTML][HTML] Regularization paths for Cox's proportional hazards model via coordinate descent
Journal of statistical software, 2011•ncbi.nlm.nih.gov
We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by
convex combinations of ℓ 1 and ℓ 2 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.
convex combinations of ℓ 1 and ℓ 2 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.
Abstract
We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of ℓ 1 and ℓ 2 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.
ncbi.nlm.nih.gov