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The incremental rule extraction is one of the main problems of KDD. In this paper, a novel rule extract algorithm - rule derivation based on rough set and depth first search tree (RDBRDFST)-is proposed. It is a depth-first heuristic search algorithm. Based on this algorithm, the incremental rules are extracted and a known rule set is updated efficiently. At last, some examples are given to illustrate the characteristics of this new incremental algorithm.