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The paper proposes a new Empirical Risk Functional as cost function for training neuro-fuzzy classifiers. This cost function, called Approximate Differentiable Empirical Risk Functional (ADERF), provides a differentiable approximation of the misclassification rate so that the Empirical Risk Minimization Principle formulated in Vapnik's Statistical Learning Theory can be applied. Also, based on the proposed ADERF, a learning algorithm is formulated. Experimental results on a number of benchmark classification tasks are provided and comparison to alternative approaches given.