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Faced with the rapid update of nonlinear and irregular big data from the environmental monitoring system, both the public and managers urgently need reliable methods to predict possible air pollutions in the future. Therefore, a multi-scale deep learning (MDL) and optimal combination ensemble (OCE) approach for hourly air quality index (AQI) forecasting is proposed in this paper, named MDL-OCE model. Before normal modeling, all original data are preprocessed through missing data filling and outlier testing to ensure smooth computation. Due to the complexity of such big data, slope-based ensemble empirical mode decomposition (EEMD) is adopted to decompose the time series of AQI and meteorological conditions into a finite number of simple intrinsic mode function (IMF) components and one residue component. Then, to unify the number of components of different variables, the fine-to-coarse (FC) technique is used to reconstruct all components into high frequency component (HF), low frequency component (LF), and trend component (TC). For purpose of extracting the underlying relationship between AQI and meteorological conditions, the three components are respectively trained and predicted by different deep learning architectures (stacked sparse autoencoder (SSAE)) with a multilayer perceptron (MLP). The corresponding forecasting results of three components are merged by OCE method to better achieve the ultimate AQI forecasting outputs. The empirical results clearly demonstrate that our proposed MDL-OCE model outperforms other advanced benchmark models in terms of forecasting performances in all cases. [ABSTRACT FROM AUTHOR]