1. A predictive control method for controlling a physical object, the physical object being responsive to a manipulated variable signal U.sub.n and producing a controlled variable signal X.sub.n, comprising the steps of: (1) preparing a multi-layered neural network as an identification model for said physical object; (2) receiving, at said multi-layered neural network, said controlled variable signal X.sub.n and said manipulated variable signal U.sub.n, at a sampling time, and predicting a predicted value Z.sub.n+1 for said controlled variable signal X.sub.n using said multi-layered neural network; (3) computing an error signal .DELTA.X.sub.n+1 between said predicted value Z.sub.n+1 and a desired value d.sub.n+1 for said controlled variable signal X.sub.n ; (4) receiving said error signal .DELTA.X.sub.n+1 at said multi-layered neural network, finding a correction amount .DELTA.U.sub.n for said manipulated variable signal U.sub.n using back propagation within said multi-layered neural network, and correcting said manipulated variable signal U.sub.n according to said correction amount .DELTA.U.sub.n; and (5) transmitting said corrected manipulated variable signal to said physical object and controlling said physical object according to said corrected manipulated variable signal.