High-throughput bio-OMIC technologies are producing high-dimension data from bio-samples at an ever increasing rate, whereas the training sample number in a traditional experiment remains small due to various difficulties. This large p, small n paradigm in the area of biomedical big data may be at least partly solved by feature selection algorithms, which select only features significantly associated with phenotypes. Feature selection is an NP-hard problem. Due to the exponentially increased time requirement for finding the globally optimal solution, all the existing feature selection algorithms employ heuristic rules to find locally optimal solutions, and their solutions achieve different performances on different datasets.