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The probabilistic radial basis function (PRBF) network constitutes a probabilistic version of the RBF network for classification that extends the typical mixture model approach to classification by allowing the sharing of mixture components among all classes. The typical learning method of PRBF for a classification task employs the expectation-maximization (EM) algorithm and depends strongly on the initial parameter values. In this paper, we propose a technique for incremental training of the PRBF network for classification. The proposed algorithm starts with a single component and incrementally adds more components at appropriate positions in the data space. The addition of a new component is based on criteria for detecting a region in the data space that is crucial for the classification task. After the addition of all components, the algorithm splits every component of the network into subcomponents, each one corresponding to a different class. Experimental results using several well-known classification data sets indicate that the incremental method provides solutions of superior classification performance compared to the hierarchical PRBF training method. We also conducted comparative experiments with the support vector machines method and present the obtained results along with a qualitative comparison of the two approaches.