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As a Demand Response (DR) based working mode, the integrated scheduling of energy supply and demand provides an effective approach to improve economic and environmental benefits for Microgrids (MGs). However, it is still a challenging issue to cover uncertainties caused by intermittent renewable energy and random loads while optimizing multiple objectives in economy and environment. To tackle this issue, an integrated scheduling approach for MGs is proposed based on robust multi-objective optimization. Firstly, load shifting in a finite time is introduced to express an acceptable DR program for industrial customers. A minimax multi-objective optimization model is formulated to seek the minimum operation costs and emissions under the worst-case realization of uncertainties, which are captured by the robust sets with budgets of uncertainty. Secondly, a strong duality based model transformation method …