Haar Measure Integral I am a physicist and I am wondering whether the following integral over Haar measure （edit: say $U$ is unitary, orthogonal or symplectic matrix)
\begin{align}
\int dU \: \exp\left( \mathrm{tr}(UX) + \mathrm{tr}(X^\dagger U^\dagger) \right)
\end{align}
have an explicit expression in terms of the matrix X. For example, if the group is $U(1)$, then the result would be the modified Bessel function $I_0(2|X|)$. For the general case, I guess one can at least expand the exponent and use the Weingarten functions, and then perform a re-summation. But I know too little about the properties of the Weingarten functions to organize the re-summation into any simple, explicit form. Does someone know how to do this, or perhaps where formulae like this can be found?
 A: Depending on what you mean by "explicit", in the unitary case this can be read off
from a generalization of the Harish--Chandra-Itzykson-Zuber formula. To see that, note that your integral can be rewritten as
$$J=\int_{U_N}\int_{U_N} \exp(\Re (\mbox{tr} V YU)) dU dV,$$
where $Y$ is a diagonal real matrix whose entries are the singular values of $X$. 
Now, for fixed diagonal  $A,B$ consider the integral
$$J(A,B)=\int_{U_N} \int_{U_N} \exp(\Re (\mbox{tr} A V BU)) dU dV.$$
Then $J=J(I,Y)$. For $A,B$ with distinct entries, $J(A,B)$ has an explicit formula involving determinants in Bessel functions, see for example formula (3.6) in the review paper of Zinn-Justin and Zuber,  https://arxiv.org/pdf/math-ph/0209019.pdf (they attribute the result to Balantekin and to Guhr--Wetting, although I guess one can trace it all the way back to Harish-Chandra). Now in your case $A=I$ and in particular the entries of $A$ are not distinct, but resolving this involves a straight-forward limit, replacing $I$ by $A=I+\epsilon \Delta$ where $\Delta$ has distinct real entries, and taking $\epsilon \to 0$.
I suspect that the case of $A=I$ has an even simpler formula, but I don't see it. Maybe somebody else, more versed in representations than me,  can
comment on that.
