To analyze high-dimensional systems, many fields in science and engineering rely on high-level descriptions, sometimes called "macrostates," "coarse-grainings," or "effective theories". Examples of such descriptions include the thermodynamic properties of a large collection of point particles undergoing reversible dynamics, the variables in a macroeconomic model describing the individuals that participate in an economy, and the summary state of a cell composed of a large set of biochemical networks. Often these high-level descriptions are constructed without considering the ultimate reason for needing them in the first place. Here, we formalize and quantify one such purpose: the need to predict observables of interest concerning the high-dimensional system with as high accuracy as possible, while minimizing the computational cost of doing so. The resulting State Space Compression (SSC) framework provides a guide for how to solve for the {optimal} high-level description of a given dynamical system, rather than constructing it based on human intuition alone. In this preliminary report, we introduce SSC, and illustrate it with several information-theoretic quantifications of "accuracy", all with different implications for the optimal compression. We also discuss some other possible applications of SSC beyond the goal of accurate prediction. These include SSC as a measure of the complexity of a dynamical system, and as a way to quantify information flow between the scales of a system.