Forecasting photovoltaic electricity generation is one of the key components to reducing the impacts of solar power natural variability, nurturing the penetration of renewable energy sources. Machine learning is a well-known method that relies on the principle that systems can learn from previously measured data, detecting patterns which are then used to predict future values of a target variable. These algorithms have been used successfully to predict incident solar irradiation, but the results depend on the specificities of the studied location due to the natural variability of the meteorological parameters. This paper presents an extensive comparison of the three ML algorithms most used worldwide for forecasting solar radiation, Support Vector Machine (SVM), Artificial Neural Network (ANN), and Extreme Learning Machine (ELM), aiming at the best prediction of daily solar irradiance in a São Paulo context. The largest dataset in Brazil for meteorological parameters, containing measurements from 1933 to 2014, was used to train and compare the results of the algorithms. The results showed good approximation between measured and predicted global solar radiation for the three algorithms; however, for São Paulo, the SVM produced a lower Root-Mean-Square Error (RMSE), and ELM, a faster training rate. Using all 10 meteorological parameters available for the site was the best approach for the three algorithms at this location.