The Lagrangian relaxation- (LR-) based methods are commonly used to solve the thermal unit commitment (UC) problem which is an important subject in power system engineering. The main drawback of this group of methods is the difference between the dual and the primal solutions which gives some significant problems on the quality of the feasible solutions. In this paper, a new approach, feasible modified subgradient (F-MSG) method which does not require finding an unconstrained global minimum of the Lagrangian function and knowing an optimal value of the problem under consideration in order to update dual variables at the each iteration, is firstly used for solving the thermal UC problem. The major advantage of the proposed approach is that it guarantees the zero duality gap and convergence independently from the size of the problem. In order to discuss the advantages of this method, the four-unit Tuncbilek thermal plant, which is located in Kutahya region in Turkey, is chosen as a small test system. The numerical results show that F-MSG gives better solutions as compared to the standard LR method.