ABSTRACT The volatility of distributed photovoltaic (PV) and wind turbine (WT) brings great challenge to the real‐time dispatching of microgrid. This work aims at solving the problem via an improved approximate dynamic programming (ADP) method. Firstly, a two‐stage microgrid dispatching framework is formulated to tackle uncertainty of PV and WT generation with an ADP model which is trained off‐line and utilized in real‐time dispatching. Secondly, an ambiguity set is proposed to utilize distribution knowledge of re…