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This paper presents a novel stochastic optimisation approach to determining the feasible optimal solution of the economic dispatch (ED) problem considering various generator constraints. Many practical constraints of generators, such as ramp rate limits, prohibited operating zones and the valve point effect, are considered. These constraints make the ED problem a non-smooth/non-convex minimisation problem with constraints. The proposed optimisation algorithm is called self-tuning hybrid differential evolution (self-tuning HDE). The self-tuning HDE utilises the concept of the 1/5 success rule of evolution strategies (ESs) in the original HDE to accelerate the search for the global optimum. Three test power systems, including 3-, 13-and 40-unit power systems, are applied to compare the performance of the proposed algorithm with genetic algorithms, the differential evolution algorithm and the HDE algorithm. Numerical results indicate that the entire performance of the proposed self-tuning HDE algorithm outperforms the other three algorithms.