Statistics and Its Interface
Volume 6 (2013)
A cocktail algorithm for solving the elastic net penalized Cox’s regression in high dimensions
Pages: 167 – 173
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.
Cox’s model, coordinate descent, elastic net, MM principle, strong rule