ESTIMATION Subcommand (SURVREG RECURRENT command)

ESTIMATION is an optional subcommand to specify the settings to control the estimation of the shared frailty models and the optional feature selection process.

SELECTFEATURES

An optional parameter to control feature selection. FALSE is the setting by default, which suppresses the feature selection process. TRUE conducts the process.

PENALTY

An optional parameter to specify the penalty parameter that controls the regularization process. It must be a single value greater than 0. The default setting is 0.001. The process is ignored if SELECTFEATURES is FALSE.

ADMM

An optional parameter to specify the type of the alternating direction method of multipliers (ADMM). FAST is the setting by default, which applies the fast ADMM. TRADITIONAL applies the traditional ADMM algorithm.

METHOD

An optional parameter to specify the estimation method. AUTO is the default setting, which automatically chooses the method based on the sample data set. If specified, it can optionally be followed by an additional parameter THRESHOLD specified within parentheses to denote the threshold of the number of predictors. If specified, it must be a single integer greater than 1. The default value is 1000. NEWTON_RAPHSON applies the Newton-Raphson’s method. L_BFGS applies the limited-memory BFGS algorithm. If specified, it might optionally be followed by an additional parameter UPDATE specified within parentheses to denote the number of the past updates maintained by the limited-memory BFGS algorithm. If specified, it must be a single integer greater than or equal to 1. The default value is 5.

MAXLINESEARCH

An optional parameter to specify the maximum number of the line searches. It must be a single integer that belongs to [1, 300]. The default setting is 20.

MAXITER

An optional parameter to specify the maximum number of iterations. It must be a single integer that belongs to [1, 300]. The default setting is 20.

MAXSTEPHALVING

An optional parameter to specify the maximum number of step-halving. It must be a single integer that belongs to [1, 200]. The default setting is 5.

PCONVERGE

An optional parameter to specify the convergence criteria for the parameter. It must be a single numeric value that belongs to [0, 1). The default setting is 0.000001. The value can optionally be followed by a keyword that is specified in parentheses. The default setting is ABSOLUTE, which will apply the absolute convergence to the inner optimization. RELATIVE applies the relative convergence to the inner optimization. Note that at least one of the values specified for PCONVERGE, FCONVERGE, and HCONVERGE must be greater than 0.

FCONVERGE

An optional parameter to specify the convergence criteria for the objective function. It must be a single numeric value belonging to [0, 1). The default setting is 0, which does not apply the convergence criteria. The value could optionally be followed by a keyword that is specified in parentheses. The default setting is ABSOLUTE, which applies the absolute convergence to the inner optimization. RELATIVE will apply the relative convergence to the inner optimization.

HCONVERGE

An optional parameter to specify the convergence criteria for the Hessian matrix. It must be a single numeric value that belongs to [0, 1). The default setting is 0, which does not apply the convergence criteria. The value might optionally be followed by a keyword that is specified in parentheses. The default setting is ABSOLUTE, which applies the absolute convergence to the inner optimization. RELATIVE applies the relative convergence to the inner optimization.

OPTIMIZE

An optional parameter to control the optimization process. BOTH is the setting by default, which applies both primal and dual residual convergence criterion. PRIMAL only applies the primal residual convergence criterion. DUAL only applies the dual residual convergence criterion.

EPSILON_ABS

An optional parameter to specify the absolute convergence for the outer iteration process. It must be a single numeric value that belongs to (0, 1). The default setting is 0.000.

EPSILON_REL

An optional parameter to specify the relative convergence for the outer iteration process. It must be a single numeric value that belongs to (0, 1). The default setting is 0.01.