Author(s): Simon N, Friedman J, Hastie T, Tibshirani R
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Abstract 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.
This article was published in J Stat Softw
and referenced in Journal of Health & Medical Informatics