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Regularization Paths for Cox’s Proportional Hazards Model via Coordinate Descent
survival Cox model lasso elastic net
2015/8/21
We introduce a pathwise algorithm for the Cox proportional hazards model, regularized by convex combinations of `1 and `2 penalties (elastic net). Our algorithm fits via cyclical coordinate descent, a...
SparseNet:Coordinate Descent with Non-Convex Penalties
Sparse Regression Regularization Surface Non-convex Optimization Coordinate Descent Degrees of Freedom Variable Selection LASSO
2015/8/21
We address the problem of sparse selection in linear models. A number of non-convex penalties have been proposed in the literature for this purpose, along with a variety of convex-relaxation algorithm...