In this paper, robot path planning in globally unknown environments is studied. Using the rolling optimization concept in predictive control for reference, a new strategy of path planning for a mobile robot, based on rolling windows, is proposed. The method makes full use of the real-time local environmental information detected by the robot and the on-line path planning is carried on in a rolling style. Optimization and feedback are combined in a reasonable way. The convergence of the planning algorithm is also discussed.