An improved system and method is provided for training a multi-class support vector machine to select a common subset of features for classifying objects. A multi-class support vector machine generator may be provided for learning classification functions to classify sets of objects into classes and may include a sparse support vector machine modeling engine for training a multi-class support vector machine using scaling factors by simultaneously selecting a common subset of features iteratively for all classes from sets of features representing each of the classes. An objective function using scaling factors to ensure sparsity of features may be iteratively minimized, and features may be retained and added until a small set of features stabilizes. Alternatively, a common subset of features may be found by iteratively removing at least one feature simultaneously for all classes from an active set of features initialized to represent the entire set of training features.