The problem of optimal control of the CHP operation modes with a complex composition of equipment, including traditional heating units and steam-gas installations, is considered. The features of the operation of the specified equipment at reduced loads and their consideration in the optimization of modes based on a multi-criteria approach, taking into account the criteria of efficiency and reliability, are given. The possibility of applying various mathematical methods of multi-criteria optimization to solve the problem in the presence of a large number of internal and external constraints and conditions in the form of inequalities and balance equations is considered. The features of solving this problem at various stages of entering the power and capacity market of the CHP are presented.