Stochastically fluctuating wind power has an escalating impact on the stability of power grid operations. To smooth out short- and long-term fluctuations, this paper presents a coordinated control algorithm using model predictive control (MPC) to manage a hybrid energy storage system (HESS) consisting of ultra-capacitor (UC) and lithium-ion battery (LB) banks. In the HESS-computing period, the algorithm minimizes HESS operating costs in the subsequent prediction horizon by optimizing the time constant of a flexible first-delay filter (FDF) to obtain the UC power output. In the LB-computing period, the algorithm keeps the optimal time constant of the FDF from the previous period to directly obtain the power output of the UC bank to minimize the power output of the LB bank in the next prediction horizon. A relaxation technique is deployed when the problem is unsolvable. Thus, the fluctuation mitigation requirements are fulfilled with a large probability even in extreme conditions. A state-of-charge (SOC) feedback control strategy is proposed to regulate the SOC of the HESS within its proper range. Case studies and quantitative comparisons demonstrate that the proposed MPC-based algorithm uses a lower power rating and storage capacity than other conventional algorithms to satisfy one-minute and 30-min fluctuation mitigation requirements (FMR).