This paper proposes an improved “prediction + optimal control” method for energy management in hybrid electric vehicles equipped with planetary gears. A differentiable predictor and a differentiable optimal controller are developed using supervised learning and reinforcement learning approaches, respectively. Three training steps are performed for the initial predictor, the optimal controller, and the final predictor. This method improves the traditional energy management predictive optimal control approach by incorporating an additional step of retraining the differentiable predictor. This adjustment ensures that the predictor does not blindly improve its performance based on evaluation criterion irrelevant to energy management, which was commonly used in previous studies. Instead, it focuses on enhancing the overall performance of energy management under the “prediction + optimal control” framework. The approach introduced in this paper is compared with the globally optimal dynamic programming results and traditional predictive optimal control methods on the Next Generation Simulation (NGSIM) data. Our method outperforms traditional approaches in energy management on both the training dataset and the test dataset. This further illustrates that the conventional practice of presumptuously optimizing predictors in “prediction + optimal control” methods can be improved using the proposed method.