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Compared with the point prediction of the wind power, the interval prediction provides more information to assist power dispatching and optimize quotation strategies in power trading. To improve the accuracy of the prediction intervals, this paper proposes a novel model based on the lower upper bound evaluation (LUBE) by the gate recurrent unit (GRU) network. First, the Pearson correlation coefficient is selected to screen out the variables related to wind power, which can simplify the input variables of the prediction model while preserving the feature information as much as possible. Afterwards, with the consideration of the prediction interval relative deviation (PIRD), the improved objective function is introduced. Based on the GRU network, the prediction intervals of the wind power can be obtained to minimize the new objective function. Finally, by choosing several mainstream neural networks, experiments are conducted towards a certain wind farm in China. The results show that the proposed model has a significant improvement in both prediction interval width and PIRD under the given prediction interval coverage probability (PICP). [ABSTRACT FROM AUTHOR]