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The merging of optimization and simulation has seen a rapid growth in recent years. A Google search on "Simulation Optimization" returns more than six thousand pages where this phrase appears. The content of these pages ranges from articles, conference presentations and books to software, sponsored work and consultancy. This is an area that has sparked as much interest in the academic world as in practical settings. In this paper, we first summarize some of the most relevant approaches that have been developed for the purpose of optimizing simulated systems. We then concentrate on the metaheuristic black-box approach that leads the field of practical applications and provide some relevant details of how this approach has been implemented and used in commercial software. Finally, we present an example of simulation optimization in the context of a simulation model developed to predict performance and measure risk in a real world project selection problem.