Abstract This paper addresses the unit commitment in multi-period combined heat and power (CHP) production planning, considering the possibility to trade power on the spot market. In CHP plants (units), generation of heat and power follows joint characteristics, which means that production planning for both heat and power must be done in coordination. We present an improved unit decommitment (IUD) algorithm that starts with an improved initial solution with less heat surplus so that the relative cost-efficiency of the plants can be determined more accurately. Then the subsequent decommitment procedures can decommit (switch off) the least cost-efficient plants properly. The improved initial solution for the committed plants is generated by a heuristic procedure. The heuristic procedure utilizes both the Lagrangian relaxation principle that relaxes the system-wide (heat and power) demand constraints and a linear relaxation of the ON/OFF states of the plants. We compare the IUD algorithm with realistic test data against a generic unit decommitment (UD) algorithm. Numerical results show that IUD is an overall improvement of UD. The solution quality of IUD is better than that of UD for almost all of tested cases. The maximum improvement is 11.3% and the maximum degradation is only 0.04% (only two sub-cases out of 216 sub-cases) with an average improvement of 0.3–0.5% for different planning horizons. Moreover, IUD is more efficient (1.1–3 times faster on average) than UD.