The high dimensionality of genomic data calls for the development of specific classification methodologies, especially to prevent over-optimistic predictions. This challenge can be tackled by compression and variable selection, which combined constitute a powerful framework for classification, as well as data visualization and interpretation. However, current proposed combinations lead to unstable and non convergent methods due to inappropriate computational frameworks. We hereby propose a computationally stable and convergent approach for classification in high dimensional based on sparse Partial Least Squares (sparse PLS).