Multivariate or multi‐wavelength luminosity functions will reveal the interplay between star formation, chemical evolution, and absorption and re‐emission of dust within evolving galaxy populations. By using principal component analysis to reduce the dimensionality of the problem, I optimally extract the relevant photometric information from large galaxy catalogs. As a demonstration of the technique, I derive the multi‐wavelength luminosity function for the galaxies in the released SDSS catalog, and compare the results with those obtained by traditional methods. This technique will be applicable to catalogs of galaxies from datasets obtained by 2MASS, and the SIRTF and GALEX missions.