Switched model predictive control (S-MPC) and recurrent neural network with long short-term memory (RNN-LSTM) are powerful control methods that have been extensively studied for energy management in microgrids (MGs). These methods are complementary in terms of constraint satisfaction, computational demand, adaptability, and comprehensibility, but typically one method is chosen over the other. The S-MPC method selects optimal models and control strategies dynamically based on the system’s operating mode and performance objectives. On the other hand, integration of auto-regressive (AR) with these powerful control methods improves prediction accuracy and system conditions’ adaptability. This paper compares the two approaches to control and proposes a novel algorithm called Switched Auto-regressive Neural Control (S-ANC) that combines their respective strengths. Using a control formulation equivalent to S-MPC and the same controller model for learning, the results indicate that pure RNN-LSTM cannot provide constraint satisfaction. The novel S-ANC algorithm can satisfy constraints and deliver comparable performance to MPC while enabling continuous learning. Results indicate that S-MPC optimization increases power flows within the MG, resulting in efficient utilization of energy resources. By merging the AR and LSTM, the model’s computational time decreased by nearly 47.2%. Also, this study evaluated our predictive model’s accuracy: (i) R-squared error is 0.951, indicating strong predictive ability, and (ii) mean absolute error (MAE) and mean square error (MSE) values of 0.571 indicate accurate predictions with minimal deviations from actual values.