A gene regulatory module (GRM) is a set of genes that is regulated by the same set of transcription factors (TFs). By organizing the genome into GRMs, a living cell can coordinate the activities of many genes in response to various internal and external stimuli. Therefore, identifying GRMs is helpful for understanding gene regulation.Integrating transcription factor binding site (TFBS), mutant, ChIP-chip, and heat shock time series gene expression data, we develop a method, called Heat-Inducible Module Identification Algorithm (HIMIA), for reconstructing GRMs of yeast heat shock response. Unlike previous module inference tools which are static statistics-based methods, HIMIA is a dynamic system model-based method that utilizes the dynamic nature of time series gene expression data. HIMIA identifies 29 GRMs, which in total contain 182 heat-inducible genes regulated by 12 heat-responsive TFs. Using various types of published data, we validate the biological relevance of the identified GRMs. Our analysis suggests that different combinations of a fairly small number of heat-responsive TFs regulate a large number of genes involved in heat shock response and that there may exist crosstalk between heat shock response and other cellular processes. Using HIMIA, we identify 68 uncharacterized genes that may be involved in heat shock response and we also identify their plausible heat-responsive regulators. Furthermore, HIMIA is capable of assigning the regulatory roles of the TFs that regulate GRMs and Cst6, Hsf1, Msn2, Msn4, and Yap1 are found to be activators of several GRMs. In addition, HIMIA refines two clusters of genes involved in heat shock response and provides a better understanding of how the complex expression program of heat shock response is regulated. Finally, we show that HIMIA outperforms four current module inference tools (GRAM, MOFA, ReMoDisvovery, and SAMBA), and we conduct two randomization tests to show that the output of HIMIA is statistically meaningful.HIMIA is effective for reconstructing GRMs of yeast heat shock response. Indeed, many of the reconstructed GRMs are in agreement with previous studies. Further, HIMIA predicts several interesting new modules and novel TF combinations. Our study shows that integrating multiple types of data is a powerful approach to studying complex biological systems.