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When you set the Collapse/Remap to gene symbols parameter to "Collapse" or "Remap_only", you must select one or more chip annotation files using the Chip platform(s) parameter.

Setting the Collapse/Remap to gene symbols parameter to "Collapse" 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. In contrast, "Remap_only" uses the information in the chip to perform simple, non-mathematical translations of gene identifiers from one format to another. To do these operations, GSEA needs to map the probes in the dataset to their matching HUGO gene symbols. The chip annotation file(s) supply that mapping information. For more information, see  DNA Chip (Array) Annotations in the GSEA User Guide.

Alternatively, you can set the Collapse/Remap to gene symbols parameter to "No_Collapse". In this case, GSEA does not perform any mapping operations on your dataset and the Chip platform(s) parameter is not used.