The challenge of building increasingly better models of neural responses to natural stimuli is to accurately estimate the multiple stimulus features that may jointly affect the neural spike probability. The selectivity for combinations of features is thought to be crucial for achieving classical properties of neural responses such as contrast invariance. The joint search for these multiple stimulus features is difficult because estimating spike probability as a multidimensional function of stimulus projections onto candidate relevant dimensions is subject to the curse of dimensionality. An attractive alternative is to search for relevant dimensions sequentially, as in projection pursuit regression. Here we demonstrate using analytic arguments and simulations of model cells that different types of sequential search strategies exhibit systematic biases when used with natural stimuli. Simulations show that joint optimization is feasible for up to three dimensions with current algorithms. When applied to the responses of V1 neurons to natural scenes, models based on three jointly optimized dimensions had better predictive power in a majority of cases compared to dimensions optimized sequentially, with different sequential methods yielding comparable results. Thus, although the curse of dimensionality remains, at least several relevant dimensions can be estimated by joint information maximization.