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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Simon et al. (2011) studied this question.
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