In reply to John.

I assume you mean that you want to penalize and shrink large coefficients in the logistic regression model. SAS/STAT 14.1 provides the LASSO option in PROC HPGENSELECT, which provides shrinkage of the coeffiients. If you don't have SAS/STAT 14.1, see Shtatland, Kleinman, and Cain (2004) for an alternative approach. If you have implementation/syntax questions, please post them to the SAS Support Community for Statistial Procedures. If you search the Communities, you will find a previous discussion on this issue.