doi.org/10.18637/jss.v039.i05

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      Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent | Journal of Statistical Software
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      Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent by Noah Simon, Jerome H. Friedman, Trevor Hastie, Rob Tibshirani
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      We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of <em>l</em><sub>1</sub> and <em>l</em><sub>2</sub> 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 algorithm and competing methods.
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