To cite the pensim package in publications use the following. You should also cite the penalized package, as recommended by citation(penalized).

Levi Waldron, Melania Pintilie, Ming-Sound Tsao, Frances Shepherd, Curtis Huttenhower, and Igor Jurisica (2011). Optimized application of penalized regression methods to diverse genomic data, Bioinformatics, 27 (24) 3399-3406.

Corresponding BibTeX entry:

  @Article{,
    title = {Optimized application of penalized regression methods to
      diverse genomic data},
    author = {{Waldron, Levi} and {Pintilie, Melania} and {Tsao,
      {Ming-Sound}} and {Shepherd, Frances A} and {Huttenhower, Curtis}
      and {Jurisica, Igor}},
    year = {2011},
    journal = {Bioinformatics},
    volume = {27},
    number = {24},
    doi = {10.1093/bioinformatics/btr591},
    note = {PMID: 22156367},
    pages = {3399--3406},
  }