One method to generate a random permutation

Step1. Let P1, P2, ..., Pn be any permutation of 1, 2, ..., n.
Step2. Set k = n;
Step3. Generate a random number U and let I=Int(kU)+1;
Step4. Interchange the values of P1 and Pk;
Step5. Let k = k-1 and if k>1, go to Step 3;
Step6. P1, ..., Pn is the desired random permutation.

Here U is generated from uniform distribution. Advantage of this method include:
1) No extra memory cost since all operations are done on the original array. Only switch happens;
2) Algorithm complexity is determined by the length of permutation;
3) It is indeed random;
However, effective algorithm to get U is important here.