In this chapter, the problem of learning in big data is considered. To solve this problem, a new algorithm is proposed as the combination of two important evolving and stable intelligent algorithms: the sequential adaptive fuzzy inference system (SAFIS) and stable gradient descent algorithm (SGD). The modified sequential adaptive fuzzy inference system (MSAFIS) is the SAFIS with the difference that the SGD is used instead of the Kalman filter for the updating of parameters. The SGD improves the Kalman filter because the first obtains a better learning in big data. The effectiveness of the introduced method is verified by two experiments.