In the protein folding problem, conventional simulations in physical statistical mechanical ensembles, such as the canonical ensemble with fixed temperature, face a great difficulty. This is because there exist a huge number of local-minimum-energy states in the system and the conventional simulations tend to get trapped in these states, giving wrong results. Generalized-ensemble algorithms are based on artificial unphysical ensembles and overcome the above difficulty by performing random walks in potential energy, volume, and other physical quantities or their corresponding conjugate parameters such as temperature, pressure, etc. The advantage of generalized-ensemble simulations lies in the fact that they not only avoid getting trapped in states of energy local minima but also allows the calculations of physical quantities as functions of temperature or other parameters from a single simulation run. In this article we review the generalized-ensemble algorithms. Four examples, multicanonical algorithm, replica-exchange method, replica-exchange multicanonical algorithm, and multicanonical replica-exchange method, are described in detail. Examples of their applications to the protein folding problem are presented.