For the purpose of improving prediction precision and promoting general applicability of GM(1,1) model in natural gas demand forecasting,the deficiencies of conventional GM(1,1) model is analyzed and an improved method is discussed in this paper.An improved GM(1,1) model is constructed by optimizing and revising model coefficient to the lower level.Based on natural gas consumption data in Sichuan in the years from 2000 to 2007,prediction models of conventional GM(1,1),unbiased GM(1,1) and the improved GM(1,1) are compared and analyzed in this paper.The prediction results show that the improved GM(1,1) model has higher prediction accuracy.