To address the uncertainty of wind power in the microgrid with the combined heat and power system

a bi-level robust model is presented to obtain the optimal scheduling scheme in the worst-case scenario. The objective function inside the model is designed by considering the costs of controllable generators and electricity purchasing(selling). To improve the ability of microgrid to accommodate the wind power

the abandoned wind curtailment cost is introduced into the objective function. Considering that the inner and outer layers of model interact with each other

the primal problem is decomposed into the day-ahead scheduling problem and the sub-problem which considers the uncertainty of wind power. In the solving process

the strong duality theorem is employed to transform the sub-problem with max-min structure into an equivalent problem. In addition

the bilinear terms in the dual problem is converted into linear terms by using the Big-M method. Finally

the problem is solved by the column and constraint generation(C&CG)algorithm. Experiment results indicate the effectiveness of the proposed method.