A cocktail algorithm for solving the elastic net penalized cox's regression in high dimensions

Yi Yang, Hui Zou

Research output: Contribution to journalArticle

34 Scopus citations

Abstract

We introduce a cocktail algorithm, a good mixture of coordinate decent, the majorization-minimization principle and the strong rule, for computing the solution paths of the elastic net penalized Cox's proportional hazards model. The cocktail algorithm enjoys a proven convergence property. We have implemented the cocktail algorithm in an R package fastcox. Numerical examples show that cocktail is comparable to coxnet [11] in speed and often delivers better quality solutions.

Original languageEnglish (US)
Pages (from-to)167-173
Number of pages7
JournalStatistics and its Interface
Volume6
Issue number2
DOIs
StatePublished - 2013

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Keywords

  • Coordinate descent
  • Cox's model
  • Elastic net
  • MM principle
  • Strong rule

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