The demand for renewable energy generation, especially photovoltaic (PV) power generation, has been growing over the past few years. However, the amount of generated energy by PV systems is highly dependent on weather conditions. Therefore, accurate forecasting of generated PV power is of importance for large-scale deployment of PV systems. Recently, machine learning (ML) methods have been widely used for PV power generation forecasting. A variety of these techniques, including artificial neural networks (ANNs), ridge regression, K-nearest neighbour (kNN) regression, decision trees, support vector regressions (SVRs) have been applied for this purpose and achieved good performance. In this paper, we briefly review the most recent ML techniques for PV energy generation forecasting and propose a new regression technique to automatically predict a PV system’s output based on historical input parameters. More specifically, the proposed loss function is a combination of three well-known loss functions: Correntropy, Absolute and Square Loss which encourages robustness and generalization jointly. We then integrate the proposed objective function into a Deep Learning model to predict a PV system’s output. By doing so, both the coefficients of loss functions and weight parameters of the ANN are learned jointly via back propagation. We investigate the effectiveness of the proposed method through comprehensive experiments on real data recorded by a real PV system. The experimental results confirm that our method outperforms the state-of-the-art ML methods for PV energy generation forecasting.