This study establishes a multi‐objective model for comprehensive energy system scheduling optimisation with wind farms, combined heat and power units, power to gas technology, circulating fluidised bed boilers and gas boilers. The goal is to minimise the operating costs and minimise the discharge of pollutants while meeting the constraints of the material balance of the circulating fluidised bed boiler. The improved weak robust optimisation theory is used to deal with the uncertainty of wind power, and the weak robust coefficient is introduced. By adjusting the coefficient, the optimal solution under the different tolerances of the deterioration of the objective function is obtained. The improved bacterial population chemotaxis algorithm is used to optimise the comprehensive energy system scheduling model, and a feasible solution with certain robustness is obtained. Sensitivity analysis under different risk levels is done. The simulation verifies the correctness and effectiveness of the optimised scheduling model and the improved algorithm. [ABSTRACT FROM AUTHOR]