Finland announces migration of its rail network to international gauge

> will cost billions of euros, affect more than 9,200 km of track, and take decades

How is a change like this going to be implemented? E.g. are they going to mainly update some tracks everywhere (and have two systems running in parallel), or all tracks in selected areas (and have passengers change), or something else?

Was there a comparable large scale rail infrastructure change in some other country?

In 1886 the USA switched the rail gauge of the southern states to standard gauge. Most of the work was done over two days.

http://southern.railfan.net/ties/1966/66-8/gauge.html

Obviously doing this today would be a much more complicated affair, considering the much higher speeds and weights of contemporary trains.

This is a lot easier to do with wooden sleepers than with concrete ones. You can drive new nails into wooden sleepers almost at will, so you can keep the sleepers in place and "just" move one rail to a different position. Concrete sleepers have pre-fabricated holes for the indicated gauge, which means replacing them.

German soldiers re-gauged Soviet railways on a very short notice too when Barbarossa started.

Building a machine, if it doesn't exist, to rapidly make small holes in concrete shouldn't be hard.