What should be expected from feature selection in small-sample settings

High-throughput technologies for rapid measurement of vast numbers of biological variables offer the potential for highly discriminatory diagnosis and prognosis; however, high dimensionality together with small samples creates the need for feature selection, while at the same time making feature-selection algorithms less reliable. Feature selection must typically be carried out from among thousands of gene-expression features and in the context of a small sample (small number of microarrays). Two basic questions arise: (1) Can one expect feature selection to yield a feature set whose error is close to that of an optimal feature set? (2) If a good feature set is not found, should it be expected that good feature sets do not exist?