Feature selection is a pattern recognition approach to choose important variables according to some criteria in order to distinguish or explain certain phenomena (i.e., for dimensionality reduction). There are many genomic and proteomic applications that rely on feature selection to answer questions such as selecting signature genes which are informative about some biological state, e.g., normal tissues and several types of cancer, or inferring a prediction network among elements such as genes, proteins and external stimuli. In these applications, a recurrent problem is the lack of samples to perform an adequate estimate of the joint probabilities between element states. A myriad of feature selection algorithms and criterion functions have been proposed, although it is difficult to point the best solution for each application.