I am using cv.glment to find predictors. The set-up I use is as follows:

    
    lassoResults<-cv.glmnet(x=countDiffs,y=responseDiffs,alpha=1,nfolds=cvfold)
    bestlambda<-lassoResults$lambda.min
          
    results<-predict(lassoResults,s=bestlambda,type="coefficients")
        
    choicePred<-rownames(results)[which(results !=0)]

To make sure the results are reproducible I set.seed(1). The results are highly variable. I ran the exact same code 100 to see how variable the results were. In the 98/100 runs had one particular predictor always selected (sometimes just on it's own); other predictors were selected (co-efficient was non-zero) usually 50/100 times.

So it's says to me that each time the cross validation is running it's going to probably selecting a different best lambda, because the initial randomization of the fold sets matter. Others have seen this problem (http://stats.stackexchange.com/questions/82307/cv-glmnet-results) but there isn't a suggested solution.

I am thinking that maybe that one which shows up 98/100 is probably pretty highly correlated to all the others? The results *do* stabilize if I just run LOOCV (fold-size = n), but I am curious why they are so variable when nfold < n