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In addition to integral_numerical, it is possible to use the nintegrate method:

sage: bessel_I(0,x).nintegrate(x, 0, 1)
(1.08652109702359, 1.206280738656574e-14, 21, 0)

The output provides the value of the integral, an error estimate, the times that the function is evaluated and an error code (0 means "no problem encountered"). Write

sage: sage.calculus.calculus.nintegral?

for more information.