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21.
The Sample Average Approximation Method Applied to Stochastic Routing Problems: A Computational Study 总被引:1,自引:0,他引:1
Bram Verweij Shabbir Ahmed Anton J. Kleywegt George Nemhauser Alexander Shapiro 《Computational Optimization and Applications》2003,24(2-3):289-333
The sample average approximation (SAA) method is an approach for solving stochastic optimization problems by using Monte Carlo simulation. In this technique the expected objective function of the stochastic problem is approximated by a sample average estimate derived from a random sample. The resulting sample average approximating problem is then solved by deterministic optimization techniques. The process is repeated with different samples to obtain candidate solutions along with statistical estimates of their optimality gaps.We present a detailed computational study of the application of the SAA method to solve three classes of stochastic routing problems. These stochastic problems involve an extremely large number of scenarios and first-stage integer variables. For each of the three problem classes, we use decomposition and branch-and-cut to solve the approximating problem within the SAA scheme. Our computational results indicate that the proposed method is successful in solving problems with up to 21694 scenarios to within an estimated 1.0% of optimality. Furthermore, a surprising observation is that the number of optimality cuts required to solve the approximating problem to optimality does not significantly increase with the size of the sample. Therefore, the observed computation times needed to find optimal solutions to the approximating problems grow only linearly with the sample size. As a result, we are able to find provably near-optimal solutions to these difficult stochastic programs using only a moderate amount of computation time. 相似文献
22.
Alexander Yu. Gelfgat 《国际流体数值方法杂志》2004,44(2):135-146
The global Galerkin method is applied to the benchmark problem that considers an oscillatory regime of convection of air in a tall two‐dimensional rectangular cavity. The three most unstable modes of the linearized system of the Boussinesq equations are studied. The converged values of the critical Rayleigh numbers together with the corresponding oscillation frequencies are calculated for each mode. The oscillatory flow regimes corresponding to each of the three modes are approximated asymptotically. No direct time integration is applied. Good agreement with the previously published results obtained by solution of the time‐dependent Boussinesq equations is reported. Copyright © 2004 John Wiley & Sons, Ltd. 相似文献
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We consider a spinning charge coupled to the Maxwell field. Through the appropriate symmetry in the initial conditions the charge remains at rest. We establish that any time-dependent finite energy solution converges to a sum of a soliton wave and an outgoing free wave. The convergence holds in global energy norm. Under a small constant external magnetic field the soliton manifold is stable in local energy seminorms and the evolution of the angular velocity is guided by an effective finite-dimensional dynamics. The proof uses a non-autonomous integral inequality method. 相似文献
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We consider systems of GI/M/1 type with bulk arrivals, bulk service and exponential server vacations. The generating functions of the steady-state probabilities
of the embedded Markov chain are found in terms of Riemann boundary value problems, a necessary and sufficient condition of
ergodicity is proved. Explicit formulas are obtained for the case where the generating function of the arrival group size
is rational. Resonance between the vacation rate and the system is studied. Complete formulas are given for the cases of single
and geometric arrivals.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
29.
The classical Yang–Baxter equation(CYBE) is an algebraic equation central in the theory of integrable systems. Its nondegenerate
solutions were classified by Belavin and Drinfeld. Quantization of CYBE led to the theory of quantum groups. A geometric interpretation
of CYBE was given by Drinfeld and gave rise to the theory of Poisson–Lie groups.
The classical dynamical Yang–Baxter equation (CDYBE) is an important differential equation analogous to CYBE and introduced
by Felder as the consistency condition for the differential Knizhnik–Zamolodchikov–Bernard equations for correlation functions
in conformal field theory on tori. Quantization of CDYBE allowed Felder to introduce an interesting elliptic analog of quantum
groups. It becomes clear that numerous important notions and results connected with CYBE have dynamical analogs.
In this paper we classify solutions to CDYBE and give geometric interpretation to CDYBE. The classification and interpretation
are remarkably analogous to the Belavin–Drinfeld picture.
Received: 24 March 1997 / Accepted: 20 June 1997 相似文献
30.
Alexander P. Schuster 《Proceedings of the American Mathematical Society》1997,125(6):1717-1725
Properties of the unions of sampling and interpolation sets for Bergman spaces are discussed in conjunction with the examples given by Seip (1993). Their relationship to the classical interpolation sequences is explored. In addition, the role played by canonical divisors in the study of these sets is examined and an example of a sampling set is constructed in the disk.