Updates:
Status: Invalid
Comment #1 on issue 2825 by matt...@gmail.com: Numerical Approximation to
Challenging Integrals
http://code.google.com/p/sympy/issues/detail?id=2825
evalf() uses mpmath's numerical integration routines and also implements
`quad` argument which allows you to choose an algorithm. If there is
something more that could be done here, I would do the implementation on
mpmath's side and then update SymPy's wrappers in evalf().
There is also another issue related to this
(http://code.google.com/p/sympy/issues/detail?id=1371) where optional usage
of SciPy for numerical integration was suggested.
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