This paper proposes a multi-agent smart generation control scheme for the automatic generation control coordination in interconnected complex power systems. A novel multi-agent decentralized win or learn fast policy hill-climbing with eligibility trace algorithm is developed, which can effectively identify the optimal average policies via a variable learning rate under various operation conditions. Based on control performance standards, the proposed approach is implemented in a flexible multi-agent stochastic dynamic game-based smart generation control simulation platform. Based on the mixed strategy and average policy, it is highly adaptive in stochastic non-Markov environments and large time-delay systems, which can fulfill automatic generation control coordination in interconnected complex power systems in the presence of increasing penetration of decentralized renewable energy. Two case studies on both a two-area load-frequency control power system and the China Southern Power Grid model have been done. Simulation results verify that multi-agent smart generation control scheme based on the proposed approach can obtain optimal average policies thus improve the closed-loop system performances, and can achieve a fast convergence rate with significant robustness compared with other methods. (C) 2015 Elsevier Ltd. All rights reserved.