Fenchel duality of Cox partial likelihood and its application in survival kernel learning

Abstract

The Cox proportional hazard model is the most widely used method in modeling time-to-event data in the health sciences. A common form of the loss function in machine learning for survival data is also mainly based on Cox partial likelihood function, due to its simplicity. However, the optimization problem becomes intractable when more complicated regularization is employed with the Cox loss function. In this paper, we show that a convex conjugate function of Cox loss function based on Fenchel Duality exists, and this provides an alternative framework to optimization based on the primal form. Furthermore, the dual form suggests an efficient algorithm for solving the kernel learning problem with censored survival outcomes. We illustrate the application of the derived duality form of Cox partial likelihood loss in the multiple kernel learning setting