I spent some time thinking about this.
There are some areas in the Julia ecosystem that are pretty organized, where cooperation is easy. This doesn’t seem like one of those areas…yet
Here are some packages for penalized regression:
MLJ Linear Models @tlienart might be your best bet
Sparse Regression @joshday
Lasso.jl
Subset Selection
GLMNet (Fortran wrapper)
Orthogonal EM (unmaintained)
LARS (old)
Trimmed Lasso
FISTA, IHT (L1, MCP)
Constrained L1
EmpiricalRisks.jl
I’m sure there are many others.
It breaks my heart to see beautiful code & effort go to waste when ppl retire from maintaining a package. It would be great if we made @tim.holy’s strategy part of our culture: when he was ready to step down from maintaining Interpolations.jl he posted Interpolations.jl needs a new maintainer & instead of letting Interpolations.jl disappear into the abyss, another user offered to take over.