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Optimal scheduling of the power generation system is of great importance to the security and reliability of the power grid. Microgrid can reduce operating costs through reasonable economic dispatch. At present, related research mainly uses the power balance constraint based on the discrete-time model, which couldn’t exactly model the integral relationship between electrical energy and power output rate of generators. A scheduling formulation is established with consideration of integral constraints and nonanticipativity in this paper. With detailed analyzing the original model, a three-stage numerical solution method is proposed. By solving convex programming, in most instances, the global optimal solution can be obtained efficiently. The optimal schedule in the sense of expectation can be obtained with the real-time load demand satisfied and nonanticipativity guaranteed. Numerical testing for autonomous power plants of a big steel enterprise is performed and the effectiveness of the method is verified.