In this letter, we explore joint optimization of perceptual gain function and deep neural networks (DNNs) for a single-channel speech enhancement task. A DNN architecture is proposed which incorporates the masking properties of the human auditory system to make the residual noise inaudible. This new DNN architecture directly trains a perceptual gain function which is used to estimate the magnitude spectrum of clean speech from noisy speech features. Experimental results demonstrate that the proposed speech enhancement approach can achieve significant improvements over the baselines when tested with TIMIT sentences corrupted by various types of noise, no matter whether the noise conditions are included in the training set or not.