Power demand forecasting with high accuracy is a guarantee to keep the balance between power supply and demand. Due to strong volatility of industrial power load, ultra-short-term power demand is difficult to forecast accurately and robustly. To solve this problem, this article proposes a Long Short-Term Memory (LSTM) network based hybrid ensemble learning forecasting model. A hybrid ensemble strategy-which consists of Bagging, Random Subspace, and Boosting with ensemble pruning-is designed to extract the deep features from multivariate data, and a new loss function that integrates peak demand forecasting error is proposed according to bias-variance tradeoff. Experimental results on open dataset and practical dataset show that the proposed model outperforms several state-of-the-art time series forecasting models, and obtains higher accuracy and robustness to forecast peak demand.