source: prextra/prextra/lasso.m.org @ 2

function [beta]=lasso(X,Y,lambda)
% function [beta]=lasso(X,Y,lambda)
% This function minimize 
% f(beta)=1/N*(Y-X*beta)'*(Y-X*beta)+lambda*sum(abs(beta)) 
% with respect to beta.
%
% X is a matrix of explanatory variables
% Y is a vector with the response variables
% lambda is the weight of the Lagrange factor
% N is the number of observations

      [n,p]=size(X);      
      X=X/sqrt(n);
      Y=Y/sqrt(n);
      Xtwo=2*X'*X;
      XY=2*X'*Y;

%% Improvement suggested by Sijmen de Jong

      if(p>n)
        beta=X'*pinv( X * X') * Y;
      else
        beta=pinv(Xtwo)*XY;
      end
%%
      notfound=1;

      while(notfound==1)
        notzero=find(abs(beta)>1e-5);
        lnz=length(notzero);
        therest=setdiff(1:p,notzero);
        if(length(therest>0))
          beta(therest)=0;
        end;
        if(lnz==0)
          notfound=0;
        else
          g=-XY(notzero)+Xtwo(notzero,notzero)*beta(notzero)+lambda*sign(beta(notzero));
          Z=sparse(1:lnz,1:lnz,0.5./abs(beta(notzero)),lnz,lnz);
          if(lnz<n)
            betastep=(Xtwo(notzero,notzero)+lambda*Z)\g;
          else
            Ainv=diag(1./diag(2*lambda*Z));
            betastep=Ainv*g-Ainv*(2*X(:,notzero)'*((X(:,notzero)*Ainv*2*X(:,notzero)'+eye(n))\(X(:,notzero)*(Ainv*g))));
          end
          tempsing=find(betastep==Inf);
          if((max(isinf(betastep))+max(isnan(betastep)))>0)
            newbeta=ones(size(tempbeta))*NaN;
            notfound=0;
          else                                    
            newbeta=beta(notzero)-betastep;
            if(max(abs(betastep))<1E-9)
              notfound=0;
            end;
          end
          beta(notzero)=newbeta;
        end
      end