We give a generalization of the random matrix ensembles, including all
lassical ensembles. Then we derive the joint density function of the
generalized ensemble by one simple formula, which give a direct and unified way
to compute the density functions for all classical ensembles and various kinds
of new ensembles. An integration formula associated with the generalized
ensemble is also given. We also give a classification scheme of the generalized
ensembles, which will include all classical ensembles and some new ensembles
which were not considered before.