Data mining is an important and challenging problem for the efficient analysis of large astronomical databases and will become even more important with the development of the Global Virtual Observatory. In this study, learning vector quantization (LVQ), single-layer perceptron (SLP) and support vector machines (SVM) were used for multi-wavelength data classification. A feature selection technique was used to evaluate the significance of the considered features for the results of classification. We conclude that in the situation of fewer features, LVQ and SLP show better performance. In contrast, SVM shows better performance when considering more features. The focus of the automatic classification is on the development of an efficient feature-based classifier. The classifiers trained by these methods can be used to preselect AGN candidates.