On-line decision augmentation (OLDA) has been considered as a promising paradigm for real-time decision making powered by Artificial Intelligence (AI). OLDA has been widely used in many applications such as real-time fraud detection, personalized recommendation, etc. On-line inference puts real-time features extracted from multiple time windows through a pre-trained model to evaluate new data to support decision making. Feature extraction is usually the most time-consuming operation in many OLDA data pipelines. In this work, we started by studying how existing in-memory databases can be leveraged to efficiently support such real-time feature extractions. However, we found that existing in-memory databases cost hundreds or even thousands of milliseconds. This is unacceptable for OLDA applications with strict real-time constraints. We therefore propose FEDB ( F eature E ngineering D ata b ase), a distributed in-memory database system designed to efficiently support on-line feature extraction. Our experimental results show that FEDB can be one to two orders of magnitude faster than the state-of-the-art in-memory databases on real-time feature extraction. Furthermore, we explore the use of the Intel Optane DC Persistent Memory Module (PMEM) to make FEDB more cost-effective. When comparing the proposed PMEM-optimized persistent skiplist to the FEDB using DRAM+SSD, PMEM-based FEDB can shorten the tail latency up to 19.7%, reduce the recovery time up to 99.7%, and save up to 58.4% total cost of a real OLDA pipeline.