Buildings account for nearly 40% of global energy consumption. About 40% and 15% of that are consumed, respectively, by HVAC and lighting. These energy uses can be reduced by integrated control of active and passive sources of heating, cooling, lighting, shading and ventilation. However, rigorous studies of such control strategies are lacking since computationally tractable models are not available. In this paper, a novel formulation capturing key interactions of the above building functions is established to minimize the total daily energy cost. To obtain effective integrated strategies in a timely manner, a methodology that combines stochastic dynamic programming (DP) and the rollout technique is developed within the price-based coordination framework. For easy implementation, DP-derived heuristic rules are developed to coordinate shading blinds and natural ventilation, with simplified optimization strategies for HVAC and lighting systems. Numerical simulation results show that these strategies are scalable, and can effectively reduce energy costs and improve human comfort.