Selected configuration interaction (sCI) methods including second-order perturbative corrections provide near full CI (FCI) quality energies with only a small fraction of the determinants of the FCI space. Here, we introduce both a state-specific and a multi-state sCI method based on the configuration interaction using a perturbative selection made iteratively (CIPSI) algorithm. The present method revises the reference (internal) space under the effect of its interaction with the outer space via the construction of an effective Hamiltonian, following the shifted-Bk philosophy of Davidson and co-workers. In particular, the multi-state algorithm removes the storage bottleneck of the effective Hamiltonian via a low-rank factorization of the dressing matrix. Illustrative examples are reported for the state-specific and multi-state versions.