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Wide heterogeneity exists in cancer patients' survival, ranging from a few months to several decades. To accurately predict clinical outcomes, it is vital to build an accurate predictive model that relates the patients' molecular profiles with the patients' survival. With complex relationships between survival and high‐dimensional molecular predictors, it is challenging to conduct nonparametric modeling and irrelevant predictors removing simultaneously. In this article, we build a kernel Cox proportional hazards semi‐parametric model and propose a novel regularized garrotized kernel machine (RegGKM) method to fit the model. We use the kernel machine method to describe the complex relationship between survival and predictors, while automatically removing irrelevant parametric and nonparametric predictors through a LASSO penalty. An efficient high‐dimensional algorithm is developed for the proposed method. Comparison with other competing methods in simulation shows that the proposed method always has better predictive accuracy. We apply this method to analyze a multiple myeloma dataset and predict the patients' death burden based on their gene expressions. Our results can help classify patients into groups with different death risks, facilitating treatment for better clinical outcomes. [ABSTRACT FROM AUTHOR]