Over the last decade, metabolomics has evolved into a mainstream enterprise utilized by many laboratories globally. Like other omics data, metabolomics data has the characteristics of a smaller sample size compared to the number of features evaluated. Thus the selection of an optimal subset of features with a supervised classifier is imperative. We extended an existing feature selection algorithm, threshold gradient descent regularization (TGDR), to handle multi-class classification of omics data, and proposed two such extensions referred to as multi-TGDR. Both multi-TGDR frameworks were used to analyze a metabolomics dataset that compares the metabolic profiles of hepatocellular carcinoma (HCC) infected with hepatitis B (HBV) or C virus (HCV) with that of cirrhosis induced by HBV/HCV infection, the goal was to improve early-stage diagnosis of HCC.