In this paper,we apply stochastic Galerkin finite element methods to the optimal control problem goveed by an elliptic integral-differential PDEs with random field.The control problem has the control constraints of obstacle type.A new gradient algorithm based on the pre-conditioner conjugate gradient algorithm (PCG) is developed for this optimal control problem.This algorithm can transform a part of the state equation matrix and co-state equation matrix into block diagonal matrix and then solve the optimal control systems iteratively.The proof of convergence for this algorithm is also discussed.Finally numerical examples of a medial size are presented to illustrate our theoretical results.