You can use

Integer integer = Integer.valueOf(i);

From the javadoc of the constructor:

Deprecated. It is rarely appropriate to use this constructor. The static factory valueOf(int) is generally a better choice, as it is likely to yield significantly better space and time performance. Constructs a newly allocated Integer object that represents the specified int value.

The main difference is that you won't always get a new instance with valueOf as small Integer instances are cached.

All of the primitive wrapper types (Boolean, Byte, Char, Short, Integer, Long, Float and Double) have adopted the same pattern. In general, replace:

    new <WrapperType>(<primitiveType>)

with

    <WrapperType>.valueOf(<primitiveType>)

(Note that the caching behavior mentioned above differs with the type and the Java platform, but the Java 9+ deprecation applies notwithstanding these differences.)

You are trying to initialize it on itself - you are passing i as an argument, not something like 5.

From the documentation:

It is rarely appropriate to use this constructor. The static factory valueOf(int) is generally a better choice, as it is likely to yield significantly better space and time performance.

So do this:

public String toString() {
    return m.get(row) + Integer.valueOf(diagonal).toString();
}