Alumina concentration is an important parameter in the production process of aluminum electrolysis. Due to the complex production environment in the industrial field and the complex physical and chemical reactions in the aluminum reduction cell, nowadays it is still unable to carry out online measurement and real-time monitoring. For solving this problem, a soft-sensing model of alumina concentration based on a deep belief network (DBN) is proposed. However, the soft-sensing model may have some limitations for different cells and different periodic working conditions such as local anode effect, pole changing, and bus lifting in the same cell. The empirical mode decomposition (EMD) and particle swarm optimization (PSO) with the DBN are combined, and an EMD–PSO–DBN method that can denoize and optimize the model structure is proposed. The simulation results show that the improved soft-sensing model improves the accuracy and universality of prediction.