Aiming at the drawbacks of standard Grey Wolf Optimizer (GWO) algorithm, such as slow convergence and being easy to fall into local optimum, an improved Grey Wolf Optimizer with Two Headed Wolves guide (GWO-THW) algorithm was proposed by utilizing a dual nonlinear convergence factor strategy. Firstly, the chaotic Cubic mapping was used to initialize the population for improving the uniformity and diversity of the population distribution. And the wolves were divided into hunter wolves and scout wolves through the average fitness values. The different convergence factors were used to two types of wolves to seek after and round up their prey under the leadership of their respective leader wolf. Secondly, an adaptive weight factor of position updating was designed to improve the search speed and accuracy. Meanwhile, a Levy flight strategy was employed to randomly update the positions of wolves for jumping out of local optimum, when no prey was found in a certain period of time. Ten benchmark functions were selected to test the performance and effectiveness of GWO-THW. Experimental results show that compared with standard GWO and related variants, GWO-THW achieves higher optimization accuracy and faster convergence on eight benchmark functions, especially on the multi-peak functions, the algorithm can converge to the ideal optimal value within 200 iterations, indicating that GWO-THW has better optimization performance.