State space model deriving system, method and program

A state space model deriving method comprising:

• based on
• a value for a state in a state space model at each time, and
• a set of combinations of a certain time, a value for the state at each of times from a time one time before the certain time to a time n times (n is an integer of 2 or more) before the certain time, a value for an input in the state space model at the certain time obtained one time before the certain time, and a value or values for one or more attributes at the certain time obtained one time before the certain time,
• learning a regression equation using the state at a future time as an objective variable and including, as explanatory variables, at least, explanatory variables each representing the state at each of times from a time one time before the future time to a time m times (m is an integer of 1 or more and n or less) before the future time and an explanatory variable representing the input at the future time obtained one time before the future time;
• and
• converting the regression equation to have a form of the state space model.

A non-transitory computer-readable recording medium in which a state space model deriving program is recorded, the state space model deriving program causing a computer to execute, based on

• a value for a state in a state space model at each time, and
• a set of combinations of a certain time, a value for the state at each of times from a time one time before the certain time to a time n times (n is an integer of 2 or more) before the certain time, a value for an input in the state space model at the certain time obtained one time before the certain time, and a value or values for one or more attributes at the certain time obtained one time before the certain time,
• learning processing of learning a regression equation using the state at a future time as an objective variable and including, as explanatory variables, at least, explanatory variables each representing the state at each of times from a time one time before the future time to a time m times (m is an integer of 1 or more and n or less) before the future time and an explanatory variable representing the input at the future time obtained one time before the future time, and
• conversion processing of converting the regression equation to have a form of the state space model.