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Protein design is the inverse approach of the three-dimensional (3D) structure prediction for elucidating the relationship between the 3D structures and amino acid sequences. In general, the computation of the protein design involves a double loop: a loop for amino acid sequence changes and a loop for an exhaustive conformational search for each amino acid sequence. Herein, we propose a novel statistical mechanical design method using Bayesian learning, which can design lattice proteins without the exhaustive conformational search. We consider a thermodynamic hypothesis of the evolution of proteins and apply it to the prior distribution of amino acid sequences. Furthermore, we take the water effect into account in view of the grand canonical picture. As a result, on applying the 2D lattice hydrophobic-polar (HP) model, our design method successfully finds an amino acid sequence for which the target conformation has a unique ground state. However, the performance was not as good for the 3D lattice HP models compared to the 2D models. The performance of the 3D model improves on using a 20-letter lattice proteins. Furthermore, we find a strong linearity between the chemical potential of water and the number of surface residues, thereby revealing the relationship between protein structure and the effect of water molecules. The advantage of our method is that it greatly reduces computation time, because it does not require long calculations for the partition function corresponding to an exhaustive conformational search. As our method uses a general form of Bayesian learning and statistical mechanics and is not limited to lattice proteins, the results presented here elucidate some heuristics used successfully in previous protein design methods.