Glmnet in Matlab
Lasso and elastic-net regularized generalized linear models
This is a Matlab port for the extremely efficient procedures for fitting the entire lasso or elastic-net path for linear regression, logistic and multinomial regression, Poisson regression the Cox model.
Two recent additions are the multiresponse gaussian, and the grouped multinomial.
Glmnet for Matlab (2013) Qian, J., Hastie, T., Friedman, J., Tibshirani, R. and Simon, N. http://www.stanford.edu/~hastie/glmnet_matlab/