Variable and feature selection have become the focus of much research in areas of application for which datasets with tens or hundreds of thousands of variabl es are available. These areas include text processing of internet documents, gene expression arr ay nalysis, and combinatorial chemistry. The objective of variable selection is three-fold: improvi ng the prediction performance of the predictors, providing faster and more cost-effective predict ors, and providing a better understanding of the underlying process that generated the data. The contrib utions of this special issue cover a wide range of aspects of such problems: providing a better definit ion of the objective function, feature construction, feature ranking, multivariate feature sele ction, efficient search methods, and feature validity assessment methods.