Advanced adiabatic compressed air energy storage (AA-CAES) has the advantages of large capacity

long service time

combined heat and power generation (CHP)

and does not consume fossil fuels

making it a promising storage technology in a low-carbon society. An appropriate self-scheduling model can guarantee AA-CAES's profit and attract investments. However

very few studies refer to the cogeneration ability of AA-CAES

which enables the possibility to trade in the electricity and heat markets at the same time. In this paper

we propose a multi-market self-scheduling model to make full use of heat produced in compressors. The volatile market price is modeled by a set of inexact distributions based on historical data through ø-divergence. Then

the self-scheduling model is cast as a robust risk constrained program by introducing Stackelberg game theory

and equivalently reformulated as a mixed-integer linear program (MILP). The numerical simulation results validate the proposed method and demonstrate that participating in multi-energy markets increases overall profits. The impact of uncertainty parameters is also discussed in the sensibility analysis.