  Motivation: Biomarker discovery from high-dimensional data is a crucial
problem with enormous applications in biology and medicine. It is also
extremely challenging from a statistical viewpoint, but surprisingly few
studies have investigated the relative strengths and weaknesses of the plethora
of existing feature selection methods. Methods: We compare 32 feature selection
methods on 4 public gene expression datasets for breast cancer prognosis, in
terms of predictive performance, stability and functional interpretability of
the signatures they produce. Results: We observe that the feature selection
method has a significant influence on the accuracy, stability and
interpretability of signatures. Simple filter methods generally outperform more
complex embedded or wrapper methods, and ensemble feature selection has
generally no positive effect. Overall a simple Student's t-test seems to
provide the best results. Availability: Code and data are publicly available at
http://cbio.ensmp.fr/~ahaury/.
