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There is good support for constructing finite coxeter groups (see also Meinolf Geck's pycox module http://homepages.abdn.ac.uk/m.geck/pages/), but in general construction of indefinite Coxeter groups is lacking in Sage.

Of course, if you have a finite presentation or a linear representation of any group you can construct it in Sage using the standard group construction functions, but you aren't necessarily going to be able to compute much with them unless specialized algorithms for them have been implemented (like there are for permutation groups).