This repository contains the Rmarkdowns and scripts to reproduce all the analyses contained in the paper 'Adaptive penalization in high-dimensional regression and classification with external covariates using variational Bayes'. In particular we provide scripts for the simulation example (simulation) and scalability assessment (run_time) as well as for the applications on the CLL study (CLL) and the GTEx data (GTEX). Additional helper files contain general functions for fitting and evaluation of various regression methods.