Some starter code for glmnet, collected from several different projects.
Every R file is a variant for a different project.
gn_sentiment should run out of the box. The data is included.
gn_geo and gn_finance don't, however. They are for viewing.
The writeup finance_lasso_report.pdf is most likely to be helpful to read.
The glmnet paper is:
Jerome H. Friedman, Trevor Hastie, Rob Tibshirani
Regularization Paths for Generalized Linear Models via Coordinate Descent
Journal of Statistial Software, Vol. 33, Issue 1, Feb 2010
http://www.jstatsoft.org/v33/i01
From Brendan O'Connor - http://anyall.org