In the last two decades, there have been massive advancements in high throughput technologies, which resulted in the exponential growth of public repositories of gene expression datasets for various phenotypes. It is possible to unravel biomarkers by comparing the gene expression levels under different conditions, such as disease vs. control, treated vs. not treated, drug A vs. drug B, etc. This problem refers to a well-studied problem in the machine learning domain, i.e., the feature selection problem. In biological data analysis, most of the computational feature selection methodologies were taken from other fields, without considering the nature of the biological data. For gene expression data analysis, most of the existing feature selection methods rely on expression values alone to select the genes; and biological knowledge is integrated at the end of the analysis in order to gain biological insights or to support the initial findings. Thus, integrative approaches that utilize the biological knowledge while performing feature selection are necessary for this kind of data. The main idea behind the integrative gene selection process is to generate a ranked list of genes considering both the statistical metrics that are applied to the gene expression data, and the biological background information which is provided as external datasets. Since the integrative approach attracted attention in the gene expression domain, lately the gene selection process shifted from being purely data-centric to more incorporative analysis with additional biological knowledge.