In this paper, we focus on the unknown environments without artificial landmarks and features, such as disaster situations and polar regions. An approach to active exploration based on an on-line scheme for autonomous allocation of landmarks is proposed. Specifically, the robot carries along with itself some landmarks which are to be allocated during the exploration according to some heuristic rules. The utility of landmark allocation is analyzed and calculated. Then the active exploration is converted into a problem of multi-objective optimization. The objective function includes three weighted terms: the accuracy of localization and mapping, the coverage rate of the unknown environment and the utility of the allocated landmarks. By solving this optimization problem, control inputs of the robot are computed to guarantee that accurate localization, high-quality mapping and complete exploration can be achieved simultaneously. Moreover, supplementation and redundancy elimination of the allocated landmarks are executed to make a complete and non-redundant coverage for the environment. Finally, some landmarks, together with a device for allocating these landmarks, are developed. Both experiment and simulation results are presented to demonstrate the effectiveness of the proposed approach.