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The introduction of large ratios of renewable energy into the existing power system is complicated by the inherent variability of production technologies, which harvest energy from wind, sun and waves. Fluctuations of renewable power production can be predicted to some extent, but the assumption of perfect prediction is unrealistic. This paper therefore introduces the Agile Virtual Power Plant. The Agile Virtual Power Plant assumes that the base load production planning based on best available knowledge is already given, so imbalances cannot be predicted. Consequently the Agile Virtual Power Plant attempts to preserve maneuverability (stay agile) rather than optimize performance according to predictions. In this paper the imbalance compensation problem for an Agile Virtual Power Plant is formulated. It is proved formally, that when local units are power and energy constrained integrators a dispatch strategy exists, which is optimal regardless of future load/imbalances. The optimal dispatch is obtained at each sample by solving a quadratic program. Finally a simulation example illustrates the optimal dispatch strategy and compares the performance with a (non-optimal) MPC-strategy.