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This paper firstly compares rough sets theory with grey system theory, then the concept of grey sets is proposed and the grey degree of grey sets and the basic relationships and operations of grey sets are defined. Next, we set up the models of grey rough sets and wide grey rough sets as well as study their properties. Moreover, the definition of rough grey sets is given and their basic characters are investigated. Furthermore, the relations between rough grey sets and grey rough sets are researched. Finally, we come to the conclusion that it is possibly more effective to deal with some uncertain problems if the theories and methods of rough sets and grey systems are combined.