It is difficult for the micro-grid with distributed generation (DG) to meet the requirements of connecting into the power grid because of the randomness and intermittent of DG. Equipping energy storage devices in the micro-grid and taking suitable control methods, the output power of DG can be smoothed and the peak load can also be shifted. A method for capacity allocation of hybrid energy storage system is proposed. The upper and lower constraints method and weighted moving average control method are adopted in the allocation method. The objective is to minimize the energy storage capacity. The simulation results show that the proposed control strategy not only makes the DG output power meet the requirements of the micro-grid, but also allocates the energy storage capacity optimally.