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• The LSTM method is proposed to construct the LUBE approach-based prediction interval for wind power forecast. • An innovative fuzzy approach is suggested to adjust the prediction interval coverage probability. • CDOA is applied to achieve the most optimal prediction intervals. This paper proposes a novel deep learning method based on lower-upper-bound-estimation (LUBE) and long short-term memory (LSTM) models to capture the uncertainty effects in the power generation of wind turbines. The LUBE model deploys the prediction interval concept as well as the LSTM approach to make a robust and resilient model. The LSTM approach is applied to construct the optimal prediction intervals with an appropriate upper bound and lower bound with a certain confidence level. In addition, the fuzzy set theory is proposed in the model to let adjust LSTM parameters based on the decision maker's ideas. This approach empowers operators to satisfy both coverage probability and width indicators of prediction intervals to achieve the optimal solution. The collective decision optimization algorithm is introduced to provide more flexibility in tuning the LSTM parameters. The efficiency and quality of the proposed scheme are studied using some datasets gathered from the Australia wind farms. [Display omitted] [ABSTRACT FROM AUTHOR]