fastcox: Lasso and elastic-net penalized Cox’s regression in high dimensions models using the cocktail algorithm. We implement 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.
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- Yang, Yi; Zou, Hui: A cocktail algorithm for solving the elastic net penalized Cox’s regression in high dimensions (2013)