From: tibshirani tibshirani on
Now (freely) available

Glmnet for Matlab:

Code for fitting Lasso (L1) and elastic-net regularized generalized linear models


Extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models.

The algorithm uses cyclical coordinate descent in a pathwise fashion.

Go to http://www-stat.stanford.edu/~tibs/glmnet-matlab/

for more detals

sincerely

Rob Tibshirani