The algorithm uses cyclical coordinate descent in a pathwise fashion, as described in the paper:

Regularized Paths for Generalized Linear Models via Coordinate Descent (To appear, Journal of Statistical Software 2009) and the paper:

Pathwise coordinate optimization, The Annals of Applied Statistics. Volume 1, Number 2 (2007), 302-332

Algorithm designed by Jerome Friedman, Trevor Hastie and Rob Tibshirani. Fortran code written by Jerome Friedman

MATLAB wrapper written and maintained by Hui Jiang, jiangh@stanford.edu
Department of Statistics, Stanford University, Stanford, California, USA.

The distribution in the zip file contains a dll for Windows XP (tested with Matlab R13) and Windows Vista (tested with Matlab R14) and 64-bit Linux version (tested with Matlab R2008b). We may add precompiled versions for other platforms such as 32 bit Linux in the future. For now, users of those platforms can easily compile the code themselves.




Zip file