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The number of web images has been explosively growing due to the development of network and storage technology. These images make up a large amount of current multimedia data and are closely related to our daily life. To efficiently browse, retrieve and organize the web images, numerous approaches have been proposed. Since the semantic concepts of the images can be indicated by label information, automatic image annotation becomes one effective technique for image management tasks. Most existing annotation methods use image features that are often noisy and redundant. Hence, feature selection can be exploited for a more precise and compact representation of the images, thus improving the annotation performance. In this paper, we propose a novel feature selection method and apply it to automatic image annotation. There are two appealing properties of our method. First, it can jointly select the most relevant features from all the data points by using a sparsity-based model. Second, it can uncover the shared subspace of original features, which is beneficial for multi-label learning. To solve the objective function of our method, we propose an efficient iterative algorithm. Extensive experiments are performed on large image databases that are collected from the web. The experimental results together with the theoretical analysis have validated the effectiveness of our method for feature selection, thus demonstrating its feasibility of being applied to web image annotation.