How do people actively explore to learn about functional relationships, that is, how continuous inputs map onto continuous outputs? We introduce a novel paradigm to investigate information search in continuous, multi-feature function learning scenarios. Participants either actively selected or passively observed information to learn about an underlying linear function. We develop and compare different variants of rule-based (linear regression) and non-parametric (Gaussian process regression) active learning approaches to model participants’ active learning behavior. Our results show that participants’ performance is best described by a rule-based model that attempts to efficiently learn linear functions with a focus on high and uncertain outcomes. These results advance our understanding of how people actively search for information to learn about functional relations in the environment.