Energy consumption classification is one of the most widely-used approaches in the energy area that is applied in various applications such as household, commercial, urban, rural, industrial, etc. Energy consumption due to its substantial positive influence on the quality of made decisions, production and distribution management, and cost reduction, has considerable literature. In the classification literature, numerous statistical, intelligence, and hybrid methods have been developed and proposed in order to yield more accurate results. The common point of all these models is that whole of techniques follow a prevalent and repetitive procedure of learning process based on continuous distance-based cost function. While the objective function of classification is discrete. While the mismatch of the continuous cost function in classification problems with the discrete objective function causes them to be illogical or inefficient. Therefore, in this paper, a novel discrete learning process is offered to eliminate the inconsistency between the cost function and the classification objective function. The main difference between the proposed learning methodology rather than conventional versions is its cost function. In the proposed learning methodology, a mismatching function is considered as a cost function, which is dissimilar to previously developed ones, which are continuous functions based on distance, is a discrete function based on direction. In this way, in the proposed learning process, unknown parameters are discretely adjusted and at once jumped to the target. This is in contrast to conventional continuous learning algorithms in which the unknown parameters are continuously adjusted and step-by-step near the target. In this paper, deep multilayer neural networks (DMNs) have been exemplarily applied to implement the proposed learning algorithm. Although more consistency of goal and cost functions will logically has not a negative effect on the classification rate of classifiers. However, in this paper, to show the superiority of the proposed discrete deep multilayer neural network (DDMN) over conventional continuous-based classifiers, four energy consumption benchmark data sets have been employed. These data sets include the Tamilnadu Electricity Board Hourly Readings, Tetouan City Energy Consumption, Household Electric Power consumption, and steel industry Energy Consumption. Empirical results indicate that the proposed DDMN model, as pre-expected, can yield better performance in all cases than the DMN model. The DDMN model can achieve a 93.27% classification rate on average and upgrade its classic version approximately by 4.77%.