Identifying genes and pathways associated with diseases such as cancer has been a subject of considerable research in recent years in the area of bioinformatics and computational biology. It has been demonstrated that the magnitude of differential expression does not necessarily indicate biological significance. Even a very small change in the expression of particular gene may have dramatic physiological consequences if the protein encoded by this gene plays a catalytic role in a specific cell function. Moreover, highly correlated genes may function together on the same pathway biologically. Finally, in sparse logistic regression with Lp (p < 1) penalty, the degree of the sparsity obtained is determined by the value of the regularization parameter. Usually this parameter must be carefully tuned through cross-validation, which is time consuming.