In this paper, a Constructive Heuristic Algorithm (CHA) is presented to solve the Transmission Network Expansion Planning Problem (TNEP), a complex non-convex Mixed Integer Non-Linear Programming (MINLP) problem with multiple local minima. In the proposed algorithm, the non-linearities are resolved through the following feature: when discrete decision variables are given, the model becomes linear in the continuous variables. A CHA is developed which improves the current solution by implementing multiple step simultaneous changes over a number of saturated transmission lines, in contrast to the approach traditionally followed, which implements one change at a time. Solutions to test problems are computed.