In this paper, a short-term wind speed prediction model, called CEEMDAN-SE-Improved PIO-GRNN, is proposed to optimize the accuracy of the short-term wind speed forecast. This model is established on account of the optimized General Regression Neural Network (GRNN) method optimized by three algorithms, which are Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN), Sample Entropy (SE), and Pigeon Inspired Optimization (PIO), separately. Firstly, decomposing the original wind speed sequences into several subsequences with different complexity by CEEMDAN. Then, the complexity of each subsequence is judged by SE and the similar subsequences are combined into a new sequence to reduce the scale of calculation. Afterwards, the GRNN model optimized by improved PIO is used to predict each new sequence. Finally, the predicted results are superposed as the eventual predicted value. Implementing the prediction for the wind speed data of a wind field in north China within 30 days by applying the different prediction models, namely, GRNN, CEEMDAN-GRNN, Improved PIO-GRNN, and CEEMDAN-SE-Improved PIO-GRNN which are proposed in this paper. Comparing the prediction curves of different models with the fitting curve of the actual wind speed shows that the optimal fitting effect and minimum error value are included in CEEMDAN-SE-Improved PIO-GRNN model. Specifically, the values of mean squared error (MSE), mean absolute error (MAE) and weighted mean absolute percentage error (WMAPE) separately decrease by 0.6222, 0.3334, and 8.5766%, which compare with the single prediction model GRNN. Meanwhile, diebold-mariano (DM) test shows that the prediction ability of the two models is significantly different. The above statements indicate the proposed model does great advance in the precision of short-term wind speed prediction.