This package fits classical sparse regression models with efficient active set algorithms by solving quadratic problems. Also provides a few methods for model selection purpose.
Also check the R-forge dev page for the latest release of the package
You will need 'Matrix', 'RcppArmadillo' and 'ggplot2' packages installed with their dependencies.
Just launch the demo script linked to the package: in R,
library(quadrupen) demo(quad_enet)