Given a large set of potential features, such as the set of all gene-expression values from a microarray, it is necessary to find a small subset with which to classify. The task of finding an optimal feature set of a given size is inherently combinatoric because to assure optimality all feature sets of a given size must be checked. Thus, numerous suboptimal feature-selection algorithms have been proposed. There are strong impediments to evaluate feature-selection algorithms using real data when data are limited, a common situation in genetic classification. The difficulty is compound. First, there are no class-conditional distributions from which to draw data points, only a single small labeled sample. Second, there are no test data with which to estimate the feature-set errors, and one must depend on a training-data-based error estimator. Finally, there is no optimal feature set with which to compare the feature sets found by the algorithms.