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101.
102.
In a previous paper we gave a new formulation and derived the Euler equations and other necessary conditions to solve strong, pathwise, stochastic variational problems with trajectories driven by Brownian motion. Thus, unlike current methods which minimize the control over deterministic functionals (the expected value), we find the control which gives the critical point solution of random functionals of a Brownian path and then, if we choose, find the expected value.This increase in information is balanced by the fact that our methods are anticipative while current methods are not. However, our methods are more directly connected to the theory and meaningful examples of deterministic variational theory and provide better means of solution for free and constrained problems. In addition, examples indicate that there are methods to obtain nonanticipative solutions from our equations although the anticipative optimal cost function has smaller expected value.In this paper we give new, efficient numerical methods to find the solution of these problems in the quadratic case. Of interest is that our numerical solution has a maximal, a priori, pointwise error of O(h3/2) where h is the node size. We believe our results are unique for any theory of stochastic control and that our methods of proof involve new and sophisticated ideas for strong solutions which extend previous deterministic results by the first author where the error was O(h2).We note that, although our solutions are given in terms of stochastic differential equations, we are not using the now standard numerical methods for stochastic differential equations. Instead we find an approximation to the critical point solution of the variational problem using relations derived from setting to zero the directional derivative of the cost functional in the direction of simple test functions.Our results are even more significant than they first appear because we can reformulate stochastic control problems or constrained calculus of variations problems in the unconstrained, stochastic calculus of variations formulation of this paper. This will allow us to find efficient and accurate numerical solutions for general constrained, stochastic optimization problems. This is not yet being done, even in the deterministic case, except by the first author. 相似文献
103.
Rainer Picard 《Journal of Mathematical Analysis and Applications》2007,328(1):655-675
The Maxwell system in an anisotropic, inhomogeneous medium with non-linear memory effect produced by a Maxwell type system for the polarization is investigated under low regularity assumptions on data and domain. The particular form of memory in the system is motivated by a model for electromagnetic wave propagation in ferromagnetic materials suggested by Greenberg, MacCamy and Coffman [J.M. Greenberg, R.C. MacCamy, C.V. Coffman, On the long-time behavior of ferroelectric systems, Phys. D 134 (1999) 362-383]. To avoid unnecessary regularity requirements the problem is approached as a system of space-time operator equation in the framework of extrapolation spaces (Sobolev lattices), a theoretical framework developed in [R. Picard, Evolution equations as space-time operator equations, Math. Anal. Appl. 173 (2) (1993) 436-458; R. Picard, Evolution equations as operator equations in lattices of Hilbert spaces, Glasnik Mat. 35 (2000) 111-136]. A solution theory for a large class of ferromagnetic materials confined to an arbitrary open set (with suitably generalized boundary conditions) is obtained. 相似文献
104.
D. Boilley A. Marchix B. Jurado K. -H. Schmidt 《The European Physical Journal A - Hadrons and Nuclei》2007,33(1):47-52
We propose a new formula for the saddle-to-scission time that is more general that the one based on Kramers' approach. Its
validity and applicability is then studied in detail. Such a formula is useful for the evaluation of the fission time of very
heavy nuclei. 相似文献
105.
Various tests have been carried out in order to compare the performances of several methods used to solve the non-symmetric linear systems of equations arising from implicit discretizations of CFD problems, namely the scalar advection-diffusion equation and the compressible Euler equations. The iterative schemes under consideration belong to three families of algorithms: relaxation (Jacobi and Gauss-Seidel), gradient and Newton methods. Two gradient methods have been selected: a Krylov subspace iteration method (GMRES) and a non-symmetric extension of the conjugate gradient method (CGS). Finally, a quasi-Newton method has also been considered (Broyden). The aim of this paper is to provide indications of which appears to be the most adequate method according to the particular circumstances as well as to discuss the implementation aspects of each scheme. 相似文献
106.
An efficient preconditioner is developed for solving the Helmholtz problem in both high and low frequency (wavenumber) regimes. The preconditioner is based on hierarchical unknowns on nested grids, known as incremental unknowns (IU). The motivation for the IU preconditioner is provided by an eigenvalue analysis of a simplified Helmholtz problem. The performance of our preconditioner is tested on the iterative solution of two‐dimensional electromagnetic scattering problems. When compared with other well‐known methods, our technique is shown to often provide a better numerical efficacy and, most importantly, to be more robust. Moreover, for the best performance, the number of IU levels used in the preconditioner should be designed for the coarsest grid to have roughly two points per linear wavelength. This result is consistent with the conventional sampling criteria for wave phenomena in contrast with existing IU applications for solving the Laplace/Poisson problem, where the coarsest grid comprises just one interior point. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2007 相似文献
107.
Madhu V. Nayakkankuppam 《Mathematical Programming》2007,109(2-3):477-504
We describe an approach to the parallel and distributed solution of large-scale, block structured semidefinite programs using
the spectral bundle method. Various elements of this approach (such as data distribution, an implicitly restarted Lanczos
method tailored to handle block diagonal structure, a mixed polyhedral-semidefinite subdifferential model, and other aspects
related to parallelism) are combined in an implementation called LAMBDA, which delivers faster solution times than previously
possible, and acceptable parallel scalability on sufficiently large problems.
This work was supported in part by NSF grants DMS-0215373 and DMS-0238008. 相似文献
108.
A generalized inverse problem for the identification of the absorption coefficient for a hyperbolic system is considered. The well-posedness of the problem is examined. It is proved that the regular part of the solution is an L 2 function, which reduces the inverse problem to minimizing the error functional. The gradient of the functional is determined in explicit form from the adjoint problem, and approximate formulas for its calculation are derived. A regularization algorithm for the solution of the inverse problem is considered. Numerical results obtained for various excitation sources are displayed. 相似文献
109.
M. Y. Xia G. H. Zhang G. L. Dai C. H. Chan 《计算数学(英文版)》2007,25(3):374-384
This paper is concerned with stable solutions of time domain integral equation (TDIE) methods for transient scattering problems with 3D conducting objects. We use the quadratic B-spline function as temporal basis functions, which permits both the induced currents and induced charges to be properly approximated in terms of completeness. Because the B-spline function has the least support width among all polynomial basis functions of the same order, the resulting system matrices seem to be the sparsest. The TDIE formula-tions using induced electric polarizations as unknown function are adopted and justified. Numerical results demonstrate that the proposed approach is accurate and efficient, and no late-time instability is observed. 相似文献
110.
本文阐述了用于高温超导磁体电磁结构优化设计的一种新方法,与一般优化方法不同之处在于其不用定义磁体的初始结构形状,采用该方法可以得到满足规格和性能要求的较佳磁体结构.通过此方法优化设计了一个中心磁场为3T的Bi系高温超导磁体,其设计结果与满足同样要求且经过优化的单螺管高温超导磁体的设计结果作了对比,由结果表明该方法具有很好的优化效果. 相似文献