how to retain the state of dynamically added gridview

Try to bind the grid on Page_Load.

protected void Page_Load(object sender, EventArgs e)
{
if (!IsPostBack)
{
BindGrid();
}
}

protected void BindGrid()
{
//Based on the dropdown selection, create column here

GridView1.DataSource = CreateDataSource();
GridView1.DataBind();
}