With the simultaneous rise of energy costs and demand for cloud computing, efficient control of data centers becomes crucial. In the data center control problem, one needs to plan at every time step how many servers to switch on or off in order to meet stochastic job arrivals while trying to minimize electricity consumption. This problem becomes particularly challenging when servers can be of various types and jobs from different classes can only be served by certain types of server, as it is often the case in real data centers. We model this problem as a robust Markov Decision Process (i.e., the transition function may not be known precisely). We give sufficient conditions (which seem to be reasonable and satisfied in practice) guaranteeing that an optimal threshold policy exists. This property can be exploited in the design of an efficient solving method that we provide. Finally, we present some experimental results demonstrating the practicability of our approach and compare with a previous related approach based on model predictive control.