Statistics and Its Interface

Volume 6 (2013)

Number 2

A cocktail algorithm for solving the elastic net penalized Cox’s regression in high dimensions

Pages: 167 – 173

DOI: http://dx.doi.org/10.4310/SII.2013.v6.n2.a1

Authors

Yi Yang (School of Statistics, University of Minnesota, Minneapolis, Minn., U.S.A.)

Hui Zou (School of Statistics, University of Minnesota, Minneapolis, Minn., U.S.A.)

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 in speed and often delivers better quality solutions.

Keywords

Cox’s model, coordinate descent, elastic net, MM principle, strong rule

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