Artificial neural networks have been successfully applied to solve a variety of business applications involving classification and function approximation. In many such applications, it is desirable to extract knowledge from trained neural networks so that the users can gain a better understanding of the solution. Existing research has focused primarily on extracting symbolic rules for classification problems with few methods devised for function approximation problems. In order to fill this gap, we propose an approach to extract rules from neural networks that have been trained to solve function approximation problems. The extracted rules divide the data samples into groups. For all samples within a group, a linear function of the relevant input attributes of the data approximates the network output. Experimental results show that the proposed approach generates rules that are more accurate than the existing methods based on decision trees and regression.