The treatment of incomplete data is an important step in the pre-processing of data. We propose a non-parametric multiple imputation algorithm (GMI) for the reconstruction of missing data, based on Generalized Regression Neural Networks (GRNN). We compare GMI with popular missing data imputation algorithms: EM (Expectation Maximization) MI (Multiple Imputation), MCMC (Markov Chain Monte Carlo) MI, and hot deck MI. A separate GRNN classifier is trained and tested on the dataset imputed with each imputation algorithm. The imputation algorithms are evaluated based on the accuracy of the GRNN classifier after the imputation process. We show the effectiveness of our proposed algorithm on twenty-six real datasets.