The invention relates to a multi-energy complementary micro-grid real-time scheduling method based on a Rollout algorithm. The multi-energy complementary micro-grid real-time scheduling method is characterized by comprising the following steps: step 1, establishing a rolling horizon Markovian decision process model of multi-energy complementary micro-grid real-time scheduling, wherein the model contains new energy source capacity randomness; determining constraint conditions of the real-time scheduling; step 2, determining a target function of the real-time scheduling; step 3, dividing a single complete scheduling period into a plurality of scheduling intervals and obtaining a basic feasible solution meeting the constraint conditions of the real-time scheduling based on a greedy algorithm; step 4, based on the basic feasible solution of the step 3, solving the rolling horizon Markovian decision process model of the multi-energy complementary micro-grid real-time scheduling by applying the Rollout algorithm. According to the multi-energy complementary micro-grid real-time scheduling method, a fluctuation property of a new energy source capacity is considered; meanwhile, the problems of a traditional algorithm that the solving speed is slow and the efficiency is low are solved; efficient and rapid multi-energy complementary micro-grid real-time scheduling is realized.