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To quantify the associated prediction uncertainty, a two-step approach based on optimized twin extreme learning machine (ELM) is proposed to construct prediction intervals (PIs). In the first step, the connection weights of the twin ELM are pretrained using a pair of symmetric weighted objective functions. In the second step, output weights of the twin ELM are further optimized by particle swarm optimization (PSO). The objective function is designed to comprehensively evaluate PIs based on their coverage probability, width, and deviation. The capability of the proposed method is validated using four benchmark datasets and two real-world byproduct gas datasets. 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