Classification on mobile devices is often done in an uninterrupted fashion. This requires algorithms with gentle demands on the computational complexity. The performance of a classifier depends heavily on the set of features used as input variables. Existing feature selection strategies for classification aim at finding a ldquobestrdquo set of features that performs well in terms of classification accuracy, but are not designed to handle constraints on the computational complexity. We demonstrate that an extension of the performance measures used in state-of-the-art feature selection algorithms with a penalty on the feature extraction complexity leads to superior feature sets if the allowed computational complexity is limited. Our solution is independent of a particular classification algorithm.