Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
نویسندگان
چکیده
منابع مشابه
Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent.
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 algori...
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ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2011
ISSN: 1548-7660
DOI: 10.18637/jss.v039.i05