The invention relates to a method for real-time scheduling of multi-energy complementary micro-grids based on a Rollout algorithm, which is technically characterized by comprising the following steps of: Step 1, setting up a moving-horizon Markov decision process model for the real-time scheduling of the multi-energy complementary micro-grids with random new-energy outputs, and establishing constraint conditions for the real-time scheduling; Step 2, establishing a target function of the real-time scheduling; Step 3, dividing a single complete scheduling cycle into a plurality of scheduling intervals, and finding one basic feasible solution meeting the constraint conditions for the real-time scheduling based on a greedy algorithm; and Step 4, finding a solution to the moving-horizon Markov decision process model for the real-time scheduling of the multi-energy complementary micro-grids by using the Rollout algorithm based on the basic feasible solution from Step 3. With the consideration of the fluctuations in the new-energy outputs, the present invention solves the problems of low speed and low efficiency of a traditional algorithm at the same time, enabling high-speed efficient multi-energy complementary micro-grid real-time scheduling.