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
Published 10 May 2013