The present application discloses a chance constrained extreme learning machine method for nonparametric interval forecasting of wind power, which belongs to the field of renewable energy generation forecasting. The method combines an extreme learning machine with a chance constrained optimization model, ensures that the interval coverage probability is no less than the confidence level by chance constraint, and takes minimizing the interval width as the training objective. The method avoids relying on the probability distribution hypothesis or limiting the interval boundary quantile level, so as to directly construct prediction intervals with well reliability and sharpness. The present application also proposes a bisection search algorithm based on difference of convex functions optimization to achieve efficient training for the chance constrained extreme learning machine.