Heart failure (HF) is one of the most prevalent life-threatening cardiovascular diseases in which 6.5 million people are suffering in the USA and more than 23 million worldwide. Mechanical circulatory support of HF patients can be achieved by implanting a left ventricular assist device (LVAD) into HF patients as a bridge to transplant, recovery or destination therapy and can be controlled by measurement of normal and abnormal pulmonary arterial wedge pressure (PAWP). While there are no commercial long-term implantable pressure sensors to measure PAWP, real-time non-invasive estimation of abnormal and normal PAWP becomes vital. In this work, first an improved Harris Hawks optimizer algorithm called HHO+ is presented and tested on 24 unimodal and multimodal benchmark functions. Second, a novel fully Elman neural network (FENN) is proposed to improve the classification performance. Finally, four novel 18-layer deep learning methods of convolutional neural networks (CNNs) with multi-layer perceptron (CNN-MLP), CNN with Elman neural networks (CNN-ENN), CNN with fully Elman neural networks (CNN-FENN), and CNN with fully Elman neural networks optimized by HHO+ algorithm (CNN-FENN-HHO+) for classification of abnormal and normal PAWP using estimated HVAD pump flow were developed and compared. The estimated pump flow was derived by a non-invasive method embedded into the commercial HVAD controller. The proposed methods are evaluated on an imbalanced clinical dataset using 5-fold cross-validation. The proposed CNN-FENN-HHO+ method outperforms the proposed CNN-MLP, CNN-ENN and CNN-FENN methods and improved the classification performance metrics across 5-fold cross-validation with an average sensitivity of 79%, accuracy of 78% and specificity of 76%. The proposed methods can reduce the likelihood of hazardous events like pulmonary congestion and ventricular suction for HF patients and notify identified abnormal cases to the hospital, clinician and cardiologist for emergency action, which can diminish the mortality rate of patients with HF.