combining millions of different regular expressions

i have large number of regular expressions. (millions). i want to
match a given string with all of them some how. but i cant iteratively
match the string with all of them because it will not give the
performance expected.
i know that any regular expression can be transformed to a state
machine. im wondering whether it is possible to transform all these
regex's to state machines and merge those state machines somehow(this
merged state machine will have an optimal structure to improve the
memory usage and performance). and then run the string once through
this state machine. (even though i only have one state machine, i need
to know exactly which regex's got matched with the input string.)
is this something that is done already somewhere?
or is this something that is still researched?
any advice/info is appreciated.

thanks




.

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