Aiming to address the issue of poor new energy accommodation capacity caused by single-objective optimization algorithms in the current coordinated dispatch process of source-grid-load-storage, a multi-objective optimization algorithm is combined to propose an optimized solution method for the coordinated dispatch problem of source-grid-load-storage. With the goals of minimizing dispatch costs and maximizing renewable energy accommodation, a multi-objective optimization function for coordinated dispatch of source-grid-load-storage is defined. Reasonable constraints are set from four aspects: energy components, main grid energy procurement, flexible load response, and energy storage devices. With the assistance of rough set theory, the weight coefficients of each dispatch optimization objective function are determined. An improved whale optimization algorithm with nonlinear weights is introduced to solve the multi-objective optimization function and derive the optimal coordinated dispatch plan. Experimental results show that after applying the dispatch optimization plan generated by the proposed method, the new energy accommodation percentage of the active distribution network reaches 97.25%, significantly enhancing the new energy accommodation capacity of the power system.