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

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.