See Piironen and Vehtari (2017). Comparison of Bayesian predictive methods for model selection. Statistics and Computing, 27(3):711-735.. If n>>p stepwise selection may work, but projection predictive approach implemented in projpred is has much lower variance and is more stable if p is large.
See Piironen, Paasiniemi, and Vehtari (2018). Projective inference in high-dimensional problems: prediction and feature selection. arXiv preprint arXiv:1810.02406. If the covariates are correlating the inclusion probabilities are misleading,
If you tell which model you would like to have, I can tell how easy it would be to add to projpred. If the model belongs to the exponential family, then Piironen, Paasiniemi, and Vehtari (2018). Projective inference in high-dimensional problems: prediction and feature selection. arXiv preprint arXiv:1810.02406 section 3 provides the equations you need.