Adding penalty_factor to CoxPHSurvivalAnalysis

[hermidalc]

It would be very useful to also support a penalty_factor in CoxPHSurvivalAnalysis in order to always include unpenalized covariates in the model. This is important when you need to adjust for e.g. known prognostic clinical or molecular covariates which shouldn't be penalized. This is something supported for Cox ridge regression in for example the penalized R package.

[hermidalc]

For now I've worked out and tested a workaround using CoxnetSurvivalAnalysis settings to become L2 penalized Ridge regression and produce identical results to CoxPHSurvivalAnalysis using information #42. This allows me to use and set penalty_factor to 0 for these covariates.

[hermidalc]

Dear @sebp - I know I'm not supposed to ask survival analysis questions here, and I did post a question on Cross Validated, but I would appreciate very much you feedback because after doing a literature search I cannot find any answers.

When running non-Cox, non-regression scikit-survival ML survival analysis methods, for example FastSurvivalSVM, GradientBoostingSurvivalAnalysis, or RandomSurvivalForest, how do you account/adjust for known prognostic clinical or molecular covariates?