Sleep disturbance and cognitive impairment represent two of the most common and debilitating conditions facing seropositive (HIV+) individuals who are otherwise well controlled with antiretroviral therapy. Sleep-assessment-based biomarkers represent an important step towards improving our understanding of the unique mechanistic features that may link sleep disruption and cognition in HIV+ individuals, ultimately leading to advancements in treatment and management options. In this study, a risk score was computed via a generalized linear model (GLM), which optimally combines polysomnography (PSG) features extracted from EEG, EMG, and EOG signals, to distinguish 18 HIV+ Black male individuals with and without cognitive impairment. The optimal set of features was identified via the least absolute shrinkage and selection operator (LASSO) approach, and the risk separation between the two groups, i.e., cognitively normal and cognitive impaired, was significant (and has a P-value < .001). The optimal set of predictive features were all EEG derived and sleep stage-specific. These preliminary findings suggest that sleep-based EEG features may be used as both diagnostic and prognostic biomarkers for cognition in HIV+ subjects.