Feature requests

[azev77]

1. Is there any chance your package can work w/ Regression Tables by @jmboehm?
2. Glmnet now includes Relaxed Lasso, which is known to have nice properties.
   It would be awesome if your package included Relaxed Lasso :)

I can play a role as well.

More generally the Julia ecosystem would be a much better place if there was a way to coordinate all penalized linear models into one package including:
SubsetSelection (paper) by @jeanpauphilet & co.
MIP-Boost forthcoming
Global Search Regression

[AsafManela]

Both are good ideas. PRs welcome.