High-dimensional data applications often entail the use of various statistical and machine-learning algorithms to identify an optimal signature based on biomarkers and other patient characteristics that predicts the desired clinical outcome in biomedical research. Both the composition and predictive performance of such biomarker signatures are critical in various biomedical research applications. In the presence of a large number of features, however, a conventional regression analysis approach fails to yield a good prediction model. A widely used remedy is to introduce regularization in fitting the relevant regression model. In particular, a penalty on the regression coefficients is extremely useful, and very efficient numerical algorithms have been developed for fitting such models with different types of responses. This -based regularization tends to generate a parsimonious prediction model with promising prediction performance, i.e., feature selection is achieved along with construction of the prediction model. The variable selection, and hence the composition of the signature, as well as the prediction performance of the model depend on the choice of the penalty parameter used in the regularization. The penalty parameter is often chosen by K-fold cross-validation. However, such an algorithm tends to be unstable and may yield very different choices of the penalty parameter across multiple runs on the same dataset. In addition, the predictive performance estimates from the internal cross-validation procedure in this algorithm tend to be inflated. In this paper, we propose a Monte Carlo approach to improve the robustness of regularization parameter selection, along with an additional cross-validation wrapper for objectively evaluating the predictive performance of the final model. We demonstrate the improvements via simulations and illustrate the application via a real dataset.
Keywords: 62J07; Monte Carlo; cross-validation; elastic-net; lasso; predictive modeling; resampling; variable selection.