Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent.

@article{Simon2011RegularizationPF,
  title={Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent.},
  author={Noah Simon and Jerome H. Friedman and Trevor J. Hastie and Rob Tibshirani},
  journal={Journal of statistical software},
  year={2011},
  volume={39 5},
  pages={1-13}
}
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 algorithm and competing methods. 
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