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This paper discusses the Δ-rule and training of min-max neural networks by developing a differentiation theory for min-max functions, the functions containing min (∧) and/or max (V) operations. We first prove that under certain conditions all min-max functions are continuously differentiable almost everywhere in the real number field ℜ and derive the explicit formulas for the differentiation. These results are the basis for developing the Δ-rule for the training of min-max neural networks. The convergence of the new Δ-rule is proved theoretically using the stochastic theory, and is demonstrated with a simulation example