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: https://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

Published 10 May 2013