We study the relationship between three compactifications of the moduli space of
gauge equivalence classes of Hermitian Yang–Mills connections on a fixed Hermitian
vector bundle over a projective algebraic manifold of arbitrary dimension. Via the
Donaldson–Uhlenbeck–Yau theorem, this space is analytically isomorphic to the
moduli space of stable holomorphic vector bundles, and as such it admits an
algebraic compactification by Gieseker–Maruyama semistable torsion-free sheaves. A
recent construction due to the first and third authors gives another compactification
as a moduli space of slope semistable sheaves. Following fundamental work of Tian
generalising the analysis of Uhlenbeck and Donaldson in complex dimension
two, we define a gauge-theoretic compactification by adding certain gauge
equivalence classes of ideal connections at the boundary. Extending work of
Jun Li in the case of bundles on algebraic surfaces, we exhibit comparison
maps from the sheaf-theoretic compactifications and prove their continuity.
The continuity, together with a delicate analysis of the fibres of the map
from the moduli space of slope semistable sheaves, allows us to endow the
gauge-theoretic compactification with the structure of a complex analytic
space.