This paper proposes a general optimal design method of probabilistic robust damping controllers (PRDCs) to suppress multiband oscillations in the power system integrated with wind farm. The proposed optimal design method consists of the following two steps. In the first step, owing to the high efficiency of the probabilistic collocation method (PCM), it is adopted to investigate the probabilistic small signal stability analysis (PSSSA) of power system integrated with wind farm. In the second step, a novel adaptive compass search (ACS) with an adaptive sequence of exploration directions is proposed to enhance the global searching ability through the previous searching results, and the proposed ACS is used to obtain the parameters of the PRDCs via solving an optimization problem based on the results of PSSSA obtained from the first step. Case studies are conducted on 16-machine 68-bus system to verify the accuracy and computational efficiency of the PCM. Moreover, simulation studies are also conducted to verify the advantages of the control performances of ACS in the design of damping controllers compared with that of the traditional residue method, particle swarm optimization (PSO), grey wolf optimizer (GWO), and teaching learning-based optimization (TLBO), respectively. Finally, the effectiveness of the proposed method is validated by the time-domain simulation. (C) 2020 Elsevier Ltd. All rights reserved.