In this paper, we present an improvement of the Gray Wolf algorithm (GWO) based on a multi-threaded implementation of the original algorithm. The paper demonstrates how to combine the solutions obtained in each of the threads to achieve a final solution closer to the absolute minimum or even equal to it. To properly combine the solutions of each of the threads of execution, we use strategies based on simulated annealing and genetic algorithms. Also, we show the results obtained for twenty-nine functions: unimodal, multimodal, fixed dimension and composite functions. Experiments show that our proposed improves the results of the original algorithm.