After several days I finally find a solution to this question.
This actually can be proven like the Hardy's inequality
Let $A_k = \sum\limits_{k=n}^{N}\frac{a_k}{k} $
Then $a_n = n(A_n-A_{n+1})$ , where $A_{N+1}=0$
By Holder's inequality $\sum\limits_{n=1}^{N} a_n^\alpha \leq \left(\sum\limits_{n=1}^{N} A_n^\alpha\right)^{1-\alpha} \left(\sum\limits_{n=1}^{N} \frac{a_n}{A_n^{1-\alpha}}\right)^{\alpha}$
So we only need that $\alpha \sum\limits_{n=1}^{N} \frac{a_n}{A_n^{1-\alpha}} \leq \sum\limits_{n=1}^{N} A_n^\alpha$
which is $\alpha \sum\limits_{n=1}^{N} \frac{n(A_n-A_{n+1})}{A_n^{1-\alpha}} \leq \sum\limits_{n=1}^{N} A_n^\alpha$
As Young's inequality gives $\alpha \frac{A_{n+1}}{A_n^{1-\alpha}} + (1-\alpha)A_n^\alpha \geq A_{n+1}^\alpha$
So $LHS \leq \sum\limits_{n=1}^{N} (n\alpha A_n^\alpha - n (A_{n+1}^\alpha-(1-\alpha)A_n^\alpha) ) = \sum\limits_{n=1}^{N} n(A_n^\alpha - A_{n+1} ^\alpha) = RHS$
So we're done.