In this research study, we are looking to explore the drug combination, lenalidomide, bortezomib and dexamethasone alone or when combined with autologous stem cell transplantation to see what side effects it may have and how well it works for treatment of newly diagnosed multiple myeloma. Specifically, the objective of this trial is to determine if, in the era of novel drugs, high dose therapy (HDT) is still necessary in the initial management of multiple myeloma in younger patients. In this study, HDT as compared to conventional dose treatment would be considered superior if it significantly prolongs progression-free survival by at least 9 months or more, recognizing that particular subgroups may benefit more compared to others.