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The intermittency of renewable energy and load uncertainty in the combined cooling, heating, and power (CCHP) system operation is considered in this study. The authors propose a robust optimisation scheduling method to attenuate the disturbance of uncertainty, and derive the day‐ahead scheduling decision under two strategies including electrical load tracking and thermal load tracking. Also, the budget of uncertainty is introduced to alleviate the conservatism of robust optimisation. Moreover, a minimax regret non‐linear formulation is constructed to describe the performance of the system and different realisations of uncertainty. To solve the problem, the authors develop a hybrid solution method, which is composed of a two‐stage Lagrangian relaxation iterative algorithm and an improved cross entropy algorithm. Simulation results demonstrate that the minimum of the maximum regret can be obtained, and the …