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This paper focuses on enhancing feature selection (FS) performance on a classification data set. First, a novel FS criterion using the concept of Bayesian discriminant is introduced. The proposed criterion is able to measure the classification ability of a feature set (or, a combination of the weighted features) in a direct way. This guarantees excellent FS results. Second, FS is conducted by optimizing the newly derived criterion in a continuous space instead of by heuristically searching features in a discrete feature space. Using this optimizing strategy, FS efficiency can be significantly improved. In this study, the proposed supervised FS scheme is compared with other related methods on different classification problems in which the number of features ranges from 33 to over 12,000. The presented results are very promising and corroborate the contributions of this study.