I was indeed planning to use LASSO for both variable selection (combined with expert input before) and shrinkage, as mentioned in a previous post: Optimism Correction after LASSO in clinical prediction models - #12 by arthur_albuquerque
In that post you also mentioned using unsupervised learning, I have to delve more into this subject. In general I only see backward stepwise or LASSO for variable selection in high-quality articles about clinical prediction models. Not sure I have seen an applied example of unsupervised learning in this context.