Glmnet

Glmnet in Matlab: Lasso and elastic-net regularized generalized linear models. This is a Matlab port for the efficient procedures for fitting the entire lasso or elastic-net path for linear regression, logistic and multinomial regression, Poisson regression and the Cox model. Features include: high efficiency by using coordinate descent with warm starts and active set iterations; methods for prediction, plotting and k-fold cross-validation; extensive options such as sparse input-matrix formats and range constraints on coefficients. Two recent additions are the multiresponse gaussian, and the grouped multinomial.