The primary performance index of the fast control power supply in the Experimental Advanced Superconducting Tokamak (EAST) is to quickly track the reference current signal, realize the excitation of the load coil with the output current, and feedback control the vertical displacement of the plasma. The current on the load coil of EAST fast control power supply is affected by various uncertain environmental factors, making it difficult to establish a standard mathematical model for prediction. Accurate object model is not required in grey prediction, and only a small amount of known information is needed to achieve short-term prediction of output current. Grey prediction has been studied and applied in EAST fast control power supply to some extent. To further improve prediction accuracy and accelerate output current response speed, an improved grey prediction algorithm is proposed to achieve output current prediction. Considering the control delay in digital control, the output current of the next period is predicted using the sampled original sequence. Following the principle of new information priority, an original sequence transformation operator is proposed to weight new information. The predicted output current in the next period is added to the original sequence while removing the oldest original sequence, to achieve rolling prediction of the output current in the next two periods. The control value of the output current is loaded one switching period in advance, further improving prediction accuracy while compensating for control delay. The output gain of proportional integral (PI) control is adaptively adjusted based on the error between the predicted current and the reference current, and the improved grey prediction variable gain PI control achieves fast and accurate control of the output current. Simulation and experimental results show that the proposed control method has high prediction accuracy. Compared to traditional PI control and grey prediction control, the proposed control method can effectively improve the output current response speed.