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The purpose of this paper is to introduce transductive inference with support vector machines (TSVM) as a powerful methodology for classification of gene expression data, using training and prediction data sets. The following classification problems will be considered: determination of cancer diagnosis categories and classification of genes from the budding yeast Saccharomyces cerevisiae in functional groups. In the case of training samples, experts have already classified the samples in their respective classes. So, given each prediction sample, the purpose is to determine its corresponding class. The main aspect of TSVM is that the classification task will be implemented in just one step, improving the generalization capability of the classifier. The TSVM will be compared with the traditional inductive method (SVM) in a series of experiments concerning the two classification problems, with promising results.