A non-derivative direct search approach called Generating Set Search (GSS) algorithm with varying bind tolerance to solve non-convex Economic Load Dispatch problem of the thermal stations in Nigeria is presented. A complete poll was carried out with initial mesh size of 1.0, expansion factor of 2.0 and contraction factor of 0.5. The binding tolerance was varied from 100 – 2200 with an increment of 100. The stopping criteria were based on the following: mesh tolerance of 0.000001, maximum iteration of 1500 and maximum function evaluation of 30000. The Economic Load Dispatch of 2500 MW, 3000 MW, 3500 MW and 4000 MW produced optimal solutions at binding tolerances of 500, 600, 1100, and 1600 respectively. The economic cost (measured in quantity of fuel) obtained for the dispatch of 2500 MW, 3000 MW, 3500 MW and 4000 MW were 83577.6936190168 MMBTU/hr, 83577.6936667599 MMBTU/hr, 83577.6937160183 MMBTU/hr and 83577.694264612 MMBTU/hr respectively. The evaluations carried out on the function in order to obtain the best solution were 1484, 5709, 6895 and 7556 for 2500 MW, 3000 MW, 3500 MW and 4000 MW of load respectively. Although the optimal bind tolerances had more iterations and evaluations, these can be traded off for the best solutions offered.