SpaSM

SpaSM: A MATLAB Toolbox for Sparse Statistical Modeling. SpaSM is a Matlab toolbox for performing sparse regression, classification and principal component analysis. The toolbox has been developed at the Department of Informatics at the Technical University of Denmark. Development started in 2004 and the toolbox receives regular updates. The code is well documented and consists of a series of pure Matlab functions. Examples, test cases and utility functions are also included. The algorithms are based on the regularization path-following paradigm developed mainly at Stanford University