The buoyancy control mechanism is critical for undersea robots to achieve effective vertical motion. However, current buoyancy control mechanisms are associated with problems such as complex design, bulky structure, noisy operation, and slow response. Inspired by the swim bladder of natural fish, we develop an artificial swim bladder, using dual membranes of the dielectric elastomer, which exhibit interesting attributes, including fast response, light weight, silent operation, especially large volume change. Both the experiments and theoretical simulations are conducted to analyze the performance of this artificial swim bladder, and they quantitatively agree with each other. This artificial swim bladder of dual membranes is capable of large voltage-induced volume change, 112% larger than the conventional single-membrane design. Consequently, this soft actuator can generate a buoyancy force of 0.49 N. This artificial swim bladder demonstrates effective up-and-down motion in water, due to its large reversible volume change. Future work includes adding horizontal-motion and turning capabilities to the existing robotic structure, so that the soft robotic fish can achieve successful navigation in undersea environments.