It is important to forecast the wind speed for managing operations in wind power plants. However, wind speed prediction is extremely complex and difficult due to the volatility and deviation of the wind. As existing forecasting methods directly model the raw wind speed data, it is difficult for them to provide higher inference accuracy. Differently, this paper presents a sophisticated deep-learning technique for short-term and long-term wind speed forecast, i.e., the predictive deep Boltzmann machine (PDBM) and corresponding learning algorithm. The proposed deep model forecasts wind speed by analyzing the higher level features abstracted from lower level features of the wind speed data. These automatically learnt features are very informative and appropriate for the prediction. The proposed PDBM is a deep stochastic model that can represent the wind speed very well, and is inspired by two aspects. 1)The stochastic model is suitable to capture the probabilistic characteristics of wind speed. 2)Recent developments in neural networks with deep architectures show that deep generative models have competitive capability to approximate nonlinear and nonsmooth functions. The evaluation of the proposed PDBM model is depicted by both hour-ahead and day-ahead prediction experiments based on real wind speed datasets. The prediction accuracy of the PDBM model outperforms existing methods by more than 10%. © 2015 IEEE.