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 language | English (US) |
|---|---|
| Pages (from-to) | 167-173 |
| Number of pages | 7 |
| Journal | Statistics and its Interface |
| Volume | 6 |
| Issue number | 2 |
| DOIs | |
| State | Published - 2013 |
Keywords
- Coordinate descent
- Cox's model
- Elastic net
- MM principle
- Strong rule
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