In recent advancement of computational techniques, there is an exponential increase in amount of data. Learning on such large amount of data is a major area of concern with application of machine learning algorithms. Therefore, it is considered to be a complicated task to handle and perform computation on such large, complex, and heterogenous dataset. In this paper, a brief discussion about different dimension reduction or feature selection algorithms is given. A brief review about contribution of researchers for designing feature selection algorithms for large dataset is given. By analyzing exisitng problems, this paper is motivated to design a hybrid, robust, flexible, and dynamic feature selection model for classification of large datasets. For this, multi-objective optimized feature selection is proposed with an objective to minimize the error rate and execution time as well maximize accuracy of problem and to generate solution with high probability.