If you have not lived with him at all during the last 6 months of 2015 and have your children living with you, file as Head of Household. You will get Earned Income Credit as well as Additional Child Tax Credit even if you do not owe taxes. So by all means file your own return as Head of Household.
If you did not get a W-2, how did you make money? If you were self employed you will have to complete Sch C and pay self employment tax. You will probably still come out ahead by filing.
