Lasso and elastic-net regularized generalized linear models
Jerome Friedman, Trevor Hastie, Rob Tibshirani
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, as described
        in the paper listed below.