The present paper introduces a neural network based on approach for solving the generalized Eigen value problem, where n-by-n matrices A and B are real-valued, B is non-singular, and is an orthogonal matrix whose determinant is equal to 1. The approach can extract the modulus largest and the modulus smallest Eigen values, and the corresponding n-dimensional complex eigenvectors can be extracted by using the proposed algorithm that is essentially based on an ordinary differential equation of order n. Experimental results demonstrated the effectiveness of the proposed algorithm.