In this paper, we suggested a methodology that can be used by an agent to learn models of other agents in a multi-agent system. To construct these model, we used influence diagram as a modeling tool. We present a method for learning models of the other agents at the decision nodes, value nodes, and chance nodes in influence diagram. We concentrated on learning of the other agents at the value node by using neural network learning technique. Furthermore, we treated anti-air units in anti-air defense domain as agents in multi. agent system.