Glmnet in Matlab

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 -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.

License: GPL-2

Published: 2014-04-28

Glmnet for Matlab (2013) Qian, J., Hastie, T., Friedman, J., Tibshirani, R. and Simon, N.
http://hastie.su.domains/glmnet_matlab/

Glmnet in R is also provided for R users, and many bells and whistles in the package are illustrated in the Glmnet Vignette.
Glmnet in Python is also provided for Python users