To save coding, I called R within SAS to finish the computation. For details to see how to call R within SAS, check here.
1. Friedman, J. (1989). Regularized discriminant analysis, Journal of the American Statistical Association 84: 165-175.
2. Friedman, J; Hastie, T; Tibshirani, R (2008). The Elements of Statistical Learning, section 4.3.1