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In this paper, we develop robust power allocation schemes for cognitive radio networks (CRNs) that can operate in multiple bands with cooperative relays considering uncertainty among the channels of secondary user (SU) network and among the channels of SU transmitters to primary user (PU) receivers. Our objective is to formulate the robust design optimization problems taking into account the interference threshold in the PU band specified by the regulatory guidelines. To optimally allocate power with channel uncertainty, two robust algorithms are developed: (i) the worst-case optimization, where the interference constraints are satisfied for all channels contained in some bounded uncertainty regions, and (ii) the probabilistically constrained optimization, where interference constraints are satisfied with certain probabilities. We show that the formulated problems are convex, which can be efficiently solved. Numerical results show the effectiveness of the proposed schemes and the implications of ignoring the uncertainties among different channels when designing power allocation schemes for CRNs.