R: Fit an group penalized survival model

grpsurv {grpreg} | R Documentation

## Fit an group penalized survival model

### Description

Fit regularization paths for Cox models with grouped penalties over a grid of values for the regularization parameter lambda.

### Usage

    grpsurv(X, y, group=1:ncol(X), penalty=c("grLasso", "grMCP", "grSCAD",
    "gel", "cMCP", "gBridge", "gLasso", "gMCP"),
    gamma=ifelse(penalty=="grSCAD", 4, 3), alpha=1, nlambda=100, lambda,
    lambda.min={if (nrow(X) > ncol(X)) 0.001 else .05}, eps=.001,
    max.iter=1000, dfmax=p, gmax=length(unique(group)), tau=1/3,
    group.multiplier, warn=TRUE, returnX=FALSE, ...)

### Arguments

`X` | The design matrix.
`y` | The time-to-event outcome, as a two-column matrix or `Surv` object. The first column should be time on study (follow up time); the second column should be a binary variable with 1 indicating that the event has occurred and 0 indicating (right) censoring.
`group` | A vector describing the grouping of the coefficients. For greatest efficiency and least ambiguity (see details), it is best if `group` is a factor or vector of consecutive integers, although unordered groups and character vectors are also allowed. If there are coefficients to be included in the model without being penalized, assign them to group 0 (or `"0"`).
`penalty` | The penalty to be applied to the model. For group selection, one of `grLasso`, `grMCP`, or `grSCAD`. For bi-level selection, one of `gel` or `cMCP`. See below for details.
`gamma` | Tuning parameter of the group or composite MCP/SCAD penalty (see details). Default is 3 for MCP and 4 for SCAD.
`alpha` | `grpsurv` allows for both a group penalty and an L2 (ridge) penalty; `alpha` controls the proportional weight of the regularization parameters of these two penalties. The group penalties' regularization parameter is `lambda*alpha`, while the regularization parameter of the ridge penalty is `lambda*(1-alpha)`. Default is 1: no ridge penalty.
`nlambda` | The number of lambda values. Default is 100.
`lambda.min` | The smallest value for lambda, as a fraction of lambda.max. Default is .001 if the number of observations is larger than the number of covariates and .05 otherwise.
`lambda` | A user-specified sequence of lambda values. By default, a sequence of values of length `nlambda` is computed automatically, equally spaced on the log scale.
`eps` | Convergence threshhold. The algorithm iterates until the relative change in any coefficient is less than `eps`. Default is `.001`.
`max.iter` | Maximum number of iterations. Default is 1000.
`dfmax` | Limit on the number of parameters allowed to be nonzero. If this limit is exceeded, the algorithm will exit early from the regularization path.
`gmax` | Limit on the number of groups allowed to have nonzero elements. If this limit is exceeded, the algorithm will exit early from the regularization path.
`tau` | Tuning parameter for the group exponential lasso; defaults to 1/3.
`group.multiplier` | A vector of values representing multiplicative factors by which each group's penalty is to be multiplied. Often, this is a function (such as the square root) of the number of predictors in each group. The default is to use the square root of group size for the group selection methods, and a vector of 1's (i.e., no adjustment for group size) for bi-level selection.
`warn` | Return warning messages for failures to converge and model saturation? Default is TRUE.
`returnX` | Return the standardized design matrix? Default is FALSE.
`...` | Not used.

### Details

The sequence of models indexed by the regularization parameter `lambda` is fit using a coordinate descent algorithm. In order to accomplish this, the second derivative (Hessian) of the Cox partial log-likelihood is diagonalized (see references for details). The objective function is defined to be

-(1/n) L(beta|X,y) + penalty(beta),

where L is the partial log-likelihood from the Cox regression model.

Presently, ties are not handled by `grpsurv` in a particularly sophisticated manner. This will be improved upon in a future release of `grpreg`.

### Value

An object with S3 class `"grpsurv"` containing:

`beta` | The fitted matrix of coefficients. The number of rows is equal to the number of coefficients, and the number of columns is equal to `nlambda`.
`group` | Same as above.
`lambda` | The sequence of `lambda` values in the path.
`penalty` | Same as above.
`gamma` | Same as above.
`alpha` | Same as above.
`loss` | The negative partial log-likelihood of the fitted model at each value of `lambda`.
`n` | The number of observations.
`df` | A vector of length `nlambda` containing estimates of effective number of model parameters all the points along the regularization path. For details on how this is calculated, see Breheny and Huang (2009).
`iter` | A vector of length `nlambda` containing the number of iterations until convergence at each value of `lambda`.
`group.multiplier` | A named vector containing the multiplicative constant applied to each group's penalty.

For Cox models, the following objects are also returned (and are necessary to estimate baseline survival conditonal on the estimated regression coefficients), all of which are ordered by time on study. I.e., the ith row of `W` does not correspond to the ith row of `X`):

`W` | Matrix of `exp(beta)` values for each subject over all `lambda` values.
`time` | Times on study.
`fail` | Failure event indicator.

### Author(s)

Patrick Breheny <patrick-breheny@uiowa.edu>

### References

- Breheny, P. and Huang, J. (2009) Penalized methods for bi-level variable selection. Statistics and its interface, 2: 369-380. myweb.uiowa.edu/pbreheny/publications/Breheny2009.pdf

- Huang J., Breheny, P. and Ma, S. (2012). A selective review of group selection in high dimensional models. Statistical Science, 27: 481-499. myweb.uiowa.edu/pbreheny/publications/Huang2012.pdf

- Breheny, P. and Huang, J. (2015) Group descent algorithms for nonconvex penalized linear and logistic regression models with grouped predictors. Statistics and Computing, 25: 173-187. www.springerlink.com/openurl.asp?genre=article&id=doi:10.1007/s11222-013-9424-2

- Breheny, P. (2015) The group exponential lasso for bi-level variable selection. Biometrics, 71: 731-740. http://dx.doi.org/10.1111/biom.12300

- Simon N, Friedman JH, Hastie T, and Tibshirani R. (2011) Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent. Journal of Statistical Software, 39: 1-13. http://www.jstatsoft.org/v39/i05

### See Also

`plot.grpreg`, `predict.grpsurv`, `cv.grpsurv`,

### Examples

    data(Lung)
    X <- Lung$X
    y <- Lung$y
    group <- Lung$group

    fit <- grpsurv(X, y, group)
    plot(fit)

    S <- predict(fit, X, type='survival', lambda=0.05)
    plot(S, xlim=c(0,200))

[Package grpreg version 3.0-2 Index]