As an efficient tool for uncertainty quantification of wind power forecasting, prediction intervals (PIs) provide essential prognosis to power system operator. Merely improving the statistical quality of PIs with respect to calibration and sharpness cannot always contribute to the operational value for specific decision-making issue. In order to bridge the gap between forecasting and decision, this paper proposes a novel cost-oriented machine learning (COML) framework that unifies nonparametric wind power PI construction and decision-making. Formulated as a bilevel programming model, the COML minimizes the operational costs of decision-making process by adaptively adjusting the quantile proportion pair of PIs resulting from extreme learning machine based quantile regression. The hierarchical optimization model of the COML is equivalently simplified as a single level nonlinear programming problem. Then an enhanced branch-and-contract (EBC) algorithm with innovative bounds contraction strategy is devised to efficiently capture the optimum of the single level problem with bilinear nonconvexity. Numerical experiments based on actual wind farm data simulate the online forecasting and decision process for wind power offering. Comprehensive comparisons verify the substantial superiority of the proposed COML methodology in terms of forecasting quality, operational value, as well as computational efficiency for practical application.