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Recent interest in the application of microarray technology focuses on relating gene expression profiles to censored survival outcome such as patients' overall survival time or time to cancer relapse. Due to the high-dimensional nature of the gene expression data, regularization becomes an effective approach for such analyses. In this chapter, we review several aspects of the recent development of penalized regression models for censored survival data with high-dimensional covariates, e.g. gene expressions. We first discuss the Cox proportional hazards model (Cox 1972) as the primary example and then the accelerated failure time model (Kalbfleisch and Prentice 2002) for further consideration.