This work focuses on support vector machine (SVM) with feature selection. A MILP formulation is proposed for the problem. The choice of suitable features to construct the separating hyperplanes has been modelled in this formulation by including a budget constraint that sets in advance a limit on the number of features to be used in the classification process. We propose both an exact and a heuristic procedure to solve this formulation in an efficient way. Finally, the validation of the model is done by checking it with some well-known data sets and comparing it with classical classification methods.