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When you set the Collapse dataset to gene symbols parameter to True, you must select a chip for the Chip platform(s) parameter.
Setting the Collapse dataset to gene symbols parameter to True tells GSEA to collapse each probe set in the dataset to a single vector for the gene, which gets identified by its HUGO gene symbol. To do this, GSEA needs to map the probes in the dataset to their matching HUGO gene symbols. You supply that mapping information by clicking the ... button next to the Chip platform(s) parameter and selecting the chip used to generate your dataset. If you do not see the chip that you need, you can download or create additional chip annotation files (see DNA Chip (Array) Annotations in the GSEA User Guide for more information).
Alternatively, you can set the Collapse dataset to gene symbols parameter to False. In this case, GSEA does not collapse your dataset and the Chip platform(s) parameter is optional. If you specify it, the analysis results report includes links to the HUGO gene symbols; otherwise, the links are omitted.