With the development of DNA microarray technology, scientists can now measure the expression levels of thousands of genes simultaneously in one single experiment. One current difficulty in interpreting microarray data comes from their innate nature of high-dimensional low sample size. Therefore, robust and accurate gene selection methods are required to identify differentially expressed group of genes across different samples, e.g. between cancerous and normal cells. Successful gene selection will help to classify different cancer types, lead to a better understanding of genetic signatures in cancers and improve treatment strategies. Although gene selection and cancer classification are two closely related problems, most existing approaches handle them separately by selecting genes prior to classification. We provide a unified procedure for simultaneous gene selection and cancer classification, achieving high accuracy in both aspects.