Since it is often difficult to build differential algebraic equations (DAEs) for chemical processes, a new data-based modeling approach is proposed using ARX (AutoRegressive with eXogenous inputs) combined with neural network under partial least squares framework (ARX-NNPLS), in which less specific knowledge of the process is required but the input and output data. To represent the dynamic and nonlinear behavior of the process, the ARX combined with neural network is used in the partial least squares (PLS) inner model between input and output latent variables. In the proposed dynamic optimization strategy based on the ARX-NNPLS model, neither parameterization nor iterative solving process for DAEs is needed as the ARX-NNPLS model gives a proper representation for the dynamic behavior of the process, and the computing time is greatly reduced compared to conventional control vector parameterization method. To demonstrate the ARX-NNPLS model based optimization strategy, the polyethylene grade transition in gas phase fluidized-bed reactor is taken into account. The optimization results show that the final optimal trajectory of quality index determined by the new approach moves faster to the target values and the computing time is much less.