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Efficient computation of the asymptotics of extensive-rank HCIZ integrals
We study the high-dimensional asymptotics of Harish-Chandra-Itzykson-Zuber (HCIZ) integrals in the extensive-rank regime. The limit of these integrals is governed by a one-dimensional boundary-value hydrodynamical problem originally derived by Matytsin (1994) and rigorously proved by Guionnet and Ze
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