  We propose a method based on the Wang-Landau algorithm to numerically
generate the spectral densities of random matrix ensembles. The method employs
Dyson's log-gas formalism for random matrix eigenvalues and also enables one to
simultaneously investigate the thermodynamic properties. This approach is a
powerful alternative to the conventionally used Monte Carlo simulations based
on the Boltzmann sampling, and is ideally suited for investigating
beta-ensembles.
