We propose an algorithm for function approximation that evolves a set of hierarchical piece-wise linear regressors. The algorithm, named HIRE-Lin, follows the iterative rule learning approach. A genetic algorithm is iteratively called to find a partition of the search space where a linear regressor can accurately fit the objective function. The resulting ruleset performs an approximation to the objective function formed by a hierarchy of locally trained linear regressors. The approach is evaluated in a set of objective functions and compared to other regression techniques. Categories and Subject Descriptors I.2.6 [Learning]: concept learning, knowledge acquisition General Terms Algorithms Keywords Genetic algorithms, machine learning, function approximation, regression