(CRAN GLMnet package)

Extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models, poisson regression and the Cox model. Two recent additions are the multiresponse gaussian, and the grouped multinomial. The algorithm uses cyclical coordinate descent in a pathwise fashion.

I contributed the algorithms in the cox, multiresponse gaussan and the grouped multinomial models (as well as work on strong rules). The implementations are Jerry Friedman's fortran!