You can use mrmr algorithm which is powerful selection method.

You can download MATLAB version of it from http://penglab.janelia.org/proj/mRMR/   

Hi Sajjad,

first I would suggest you to go to the mathworks features selection tool, that is very well documented with a lot of examples:

http://fr.mathworks.com/discovery/feature-selection.html

In addition to these, you can use spectral regression for dimensionality reduction:

http://www.cad.zju.edu.cn/home/dengcai/Data/SR.html

mathworks.com/matlabcentral/fileexchange/56937-feature-selection-library

http://penglab.janelia.org/proj/mRMR/ url doesn't work Can suggest some other link for the same?