In the Paris subway system, stations represent about one third of the overall energy consumption. Within stations, ventilation is among the top consuming devices; it is operated at maximum airflow all day long, for air quality reasons. In this paper, we present a concept of energy system that displays comparable air quality while consuming much less energy. The system comprises a battery that makes it possible to recover the trains braking energy, arriving under the form of erratic and strong peaks. We propose an energy management system (EMS) that, at short time scale, controls energy flows and ventilation airflow. By using proper optimization algorithms, we manage to match supply with demand, while minimizing energy daily costs. For this purpose, we have designed algorithms that take into account the braking variability. They are based on the so-called Stochastic Dynamic Programming (SDP) mathematical framework. We fairly compare SDP based algorithms with the widespread Model Predictive Control (MPC) ones. First, both SDP and MPC yield energy/money operating savings of the order of one third, compared to the current management without battery. Second, depending on the specific design, we observe that SDP outperforms MPC by a few percent, with an easier online numerical implementation.