Firstly, a rolling generation dispatch model is proposed considering co-generation units and wind power generation characteristics. Then, in view of the characteristics of co-generation units, an optimized rolling dispatch algorithm is presented considering wind power and other types of units based on the framework of Lagrangian relaxation algorithm. To solve the master problem, an iterative step size auto-adjusting method is presented, which can accelerate the convergence speed dramatically. To solve the sub-problem, an efficient dynamic optimization method is used to optimize the single generation power schedule. For the co-generation units, a coordinated optimization method is proposed to solve the puzzling problem caused by the coupled constraints between power and heat generation. The simulation results of a real provincial power grid system validate the effectiveness of the proposed method.