The paper is researched in the problem of GPS information lost in the GPS/SINS integrated navigation system, used the algorithm with neural network. During the outage of GPS, the information of GPS is simulated by the neural network, to supply the measured value to the system and the coupled navigation calculated is going on. The model of integrated navigation system with neural network is given in the paper. The simulation results show that the integrated system with the neural net could insure the precision even the GPS signal lost. The method mentioned in the paper offers a way of solving the problem of GPS signal lost in the integrated navigation system.