Gene expression microarray is a powerful technology for genetic profiling diseases and their associated treatments. Such a process involves a key step of biomarker identification, which are expected to be closely related to the disease. A most important task of these identified genes is that they can be used to construct a classifier which can effectively diagnose disease and even recognize the disease subtypes. Binary classification, for example, diseased or healthy, in microarray data analysis has been successful, while multi-class classification, such as cancer subtyping, remains challenging.