Anode-supported solid oxide fuel cells (SOFCs) model based on artificial neural network (ANN) and optimized design variables were modeled. The input parameters of the anode-supported SOFC model developed in this study are as follows: current density, temperature, electrolyte thickness, anode thickness, anode porosity, and cathode thickness. Voltage was estimated from the SOFC model with the input parameters. Numerical results show that the SOFC model constructed in this study can represent the actual SOFC characteristics very well. There are four design parameters to be optimized: electrolyte, anode, cathode thickness, and anode porosity. To derive the optimal combination of the design parameters, we have used a multi-armed bandit algorithm (MAB), and developed a methodology for deriving near-optimal parameter set without searching for all possible parameter sets.