Gene set analysis is a popular method for large-scale genomic studies. Because genes that have common biological features are analyzed jointly, gene set analysis often achieves better power and generates more biologically informative results. With the advancement of technologies, genomic studies with multi-platform data have become increasingly common. Several strategies have been proposed that integrate genomic data from multiple platforms to perform gene set analysis. To evaluate the performances of existing integrative gene set methods under various scenarios, we conduct a comparative simulation analysis based on The Cancer Genome Atlas breast cancer dataset.