Variable Selection via Fused Sparse‐Group Lasso Penalized Multi‐state Models Incorporating Molecular Data

In multi-state models based on high-dimensional data, effective modeling strategies are required to determine an optimal, ideally parsimonious model. In particular, linking covariate effects across transitions is needed to conduct joint variable selection. A useful technique to reduce model complexity is to address homogeneous covariate effects for distinct transitions. We integrate this approach to data-driven variable selection by extended regularization methods within multi-state model building. We propose the fused sparse-group lasso (FSGL) penalized Cox-type regression in the framework of multi-state models combining the penalization concepts of pairwise differences of covariate effects along with transition-wise grouping. For optimization, we adapt the alternating direction method of multipliers (ADMM) algorithm to transition-specific hazards regression in the multi-state setting. In a simulation study and application to acute myeloid leukemia (AML) data, we evaluate the algorithm's ability to select a sparse model incorporating relevant transition-specific effects and similar cross-transition effects. We investigate settings in which the combined penalty is beneficial compared to global lasso regularization. Clinical Trial Registration: The AMLSG 09-09 trial is registered with ClinicalTrials.gov (NCT00893399) and has been completed.