A strategy for on-line rolling generation dispatch is proposed for effectively accommodating large-scale wind power， and its relationship with day-ahead scheduling is given. A mathematic model for on-line rolling dispatch is also given. Based on the framework of Lagrange dual relaxation， a primary problem is transformed and decomposed into primal-problem and sub-problem of a dual problem. Then， an improved dynamic programming is developed for sub-problem based on the feature of convex function. The proposed method is proved to be very efficient， and meets the demands of on-line application. The proposed strategy and method are applied preliminary to a provincial power grid， and case studies show its effectiveness.