1. A feature extraction apparatus for extracting, from main information obtained from an individual piece of data, a feature of the individual piece; the feature extraction apparatus comprising: a main information input device that inputs information acquirable from all individuals as main information and accumulates the inputted main information; a sub-information input device that inputs information not necessarily acquirable from all the individuals as sub-information and accumulates the inputted sub-information; a sub-information selection device that selects the information not necessarily acquirable from all the individuals that is effective in classification and correlation of data from the sub-information inputted and accumulated in the sub-information input device; and a correlation feature extraction device that extracts a feature related to the correlation between the main information and the sub-information from the sub-information which is selected by the sub-information selection device, wherein the sub-information selection device performs a main component analysis of the sub-information, calculates the attribution degree using a reconfiguration error in a category to which the sub-information being a target for calculating the attribution degree belongs and an average of the reconfiguration error in categories other than the relevant category, and selects the sub-information whose attribution degree is larger than a predetermined reference.