Weingarten Calculus

We consider the problem of computing the integral $${\int }_{\mathcal{U}(d)}{u}_{i_1{j}_1}\cdots u_{i_n{j}_n}{\bar{u}}_{i_1^{\mathrm{\prime }}{j}_1^{\mathrm{\prime }}}\cdots {\bar{u}}_{i_{n^{\mathrm{\prime }}}^{\mathrm{\prime }}{j}_{n^{\mathrm{\prime }}}^{\mathrm{\prime }}}dU,$$ where the integration takes place with respect to the probability Haar measure on the unitary group $\mathcal{U}(d)$, and the $u_{ij}$ denotes the $ij$-th entry of a unitary matrix $U$. We present a unified approach connecting classical results, the explicit formula for the integral given by B. Collins and P. Sniady and subsequent works of various authors providing different points of view. Finally we are able to provide an explicit formula for the $2n$-th moment of the trace of a unitary Haar random matrix, generalizing a result of P. Diaconis.