Machine learning, with a dramatic breakthrough in recent years, is showing great potential to upgrade the power system optimization toolbox. Understanding the strength and limitation of machine learning approaches is crucial to answer when and how to integrate them in various power system optimization tasks. This paper pays special attention to the coordination between machine learning approaches and optimization models, and carefully evaluates to what extent such data-driven analysis may benefit the rule-based optimization. A series of typical references are selected and categorized into four kinds: the boundary parameter improvement, the optimization option selection, the surrogate model and the hybrid model. This taxonomy provides a novel perspective to understand the latest research progress and achievements. We further discuss several key challenges and provide an in-depth comparison on the features and designs of different categories. Deep integration of machine learning approaches and optimization models is expected to become the most promising technical trend.