This add-in uses JMP's R integration functionality to provide access to several penalized regression methods. Methods included are the Lasso (least absolutee shrinkage and selection operator, LARS (least angle regression), Forward Stagewise, and the Elastic Net. The Lasso and Elastic Net are now available in JMP Pro.
An R install and the "lars" and "elasticnet" R packages are required to use this add-in. Note that having tested this add-in with R 3.0.1 this add-in no longer run, but it may still run with older R installations. Even if it no longer runs for you, it still can serve as a useful example of how to take advantage of the R integration features in JMP.