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21.
Barrier options are financial derivative contracts that are activated or deactivated according to the crossing of specified
barriers by an underlying asset price. Exact models for pricing barrier options assume continuous monitoring of the underlying
dynamics, usually a stock price. Barrier options in traded markets, however, nearly always assume less frequent observation,
e.g. daily or weekly. These situations require approximate solutions to the pricing problem. We present a new approach to
pricing such discretely monitored barrier options that may be applied in many realistic situations. In particular, we study
daily monitored up-and-out call options of the European type with a single underlying stock. The approach is based on numerical
approximation of the transition probability density associated with the stochastic differential equation describing the stock
price dynamics, and provides accurate results in less than one second whenever a contract expires in a year or less. The flexibility
of the method permits more complex underlying dynamics than the Black and Scholes paradigm, and its relative simplicity renders
it quite easy to implement. 相似文献
22.
Peter Mertens Christian Stary Konrad Walser Thomas Deelmann Franz Lehner Sebastian Günther Christian Scheer 《WIRTSCHAFTSINFORMATIK》2006,48(4):288-295
Ohne Zusammenfassung 相似文献
23.
The influence of ointment formulation on the stability, the in-vitro release and the in-vivo absorption through the skin of rabbits was investigated. The choice of the selected ointments has no influence on the drug stability with the exception of an acidified emulsion base. A good correlation between in-vitro release and in-vivo absorption was found revealing that metronidazole was quickly released and effectively absorbed from a polyethylene glycol base. 相似文献
24.
Real-time ultrasonic measurements of 10th-rib backfat (BF10) and loin muscle area (LMA) were made by a single technician at four mean BW (67.4, 80.3, 93.4, and 104.9 kg) on live hogs to assess the accuracy of predicting carcass measurements before and at slaughter weight. Records were evaluated on 655 purebred barrows and 472 purebred gilts in two tests. Residual correlations-accounting for test, sex, and breed effects, among and between scans and carcass measurements--were moderate to high for BF10 (r=.69 to .82) and LMA (r=.57 to .68), with the largest correlations at 104.9 kg of live weight. Ultrasonic BF10 and LMA were within +/-4 mm and +/-6.45 cm2, respectively, of the corresponding carcass measurement 75.9 and 89.8% of the time. Sex differences for LMA bias were significant (P < .001); ultrasonic LMA was overestimated in barrows by .75 cm2 and underestimated in gilts by .91 cm2. Breed differences were significant (P < .001) for BF10 and LMA bias. Standard errors of prediction (SEP) for BF10 and LMA across the two tests were 3.46 mm and 4.04 cm2, respectively. The SEP for BF10 were 3.60 mm for barrows and 3.19 mm for gilts. The SEP for LMA were 3.77 cm2 for barrows and 4.22 cm2 for gilts. The SEP for BF10 within breeds ranged from 3.25 to 3.72 mm, and for LMA, ranged from 2.98 cm2 to 4.90 cm2. Ultrasound measurements overestimated the carcass measurement by .57 mm for carcasses measuring < 24.1 mm and underestimated by 2.81 mm carcasses with BF10 > 30.3 mm. Ultrasonic LMA overestimated the carcass by 2.35 cm2 in carcasses measuring < 32.5 cm2 and underestimated by 2.29 cm2 in carcasses measuring greater than 37.9 cm2. Results indicate that the magnitude of the carcass measurement affects bias and accuracy of prediction for real-time ultrasonic measurements of BF10 and LMA. The SEP statistic is more consistent in evaluating accuracy of ultrasonic measurement than bias, absolute deviations, and percentage of absolute deviation. 相似文献
25.
This paper documents the design, competing systems, results, and conclusions of the CADE-14 ATP System Competition (CASC-14). 相似文献
26.
On July 24, 2010, 21 people died and more than 500 were injured in a stampede at the Loveparade, a music festival, in Duisburg, Germany. Although this tragic incident is but one among many terrible crowd disasters that occur during pilgrimage, sports events, or other mass gatherings, it stands out for it has been well documented: there were a total of seven security cameras monitoring the Loveparade and the chain of events that led to disaster was meticulously reconstructed.In this paper, we present an automatic, video-based analysis of the events in Duisburg. While physical models and simulations of human crowd behavior have been reported before, to the best of our knowledge, automatic vision systems that detect congestions and dangerous crowd turbulences in real world settings were not reported yet. Derived from lessons learned from the video footage of the Loveparade, our system is able to detect motion patterns that characterize crowd behavior in stampedes. Based on our analysis, we propose methods for the detection and early warning of dangerous situations during mass events. Since our approach mainly relies on optical flow computations, it runs in real-time and preserves privacy of the people being monitored. 相似文献
27.
Clones are generally considered bad programming practice in software engineering folklore. They are identified as a bad smell?(Fowler et?al. 1999) and a major contributor to project maintenance difficulties. Clones inherently cause code bloat, thus increasing project size and maintenance costs. In this work, we try to validate the conventional wisdom empirically to see whether cloning makes code more defect prone. This paper analyses the relationship between cloning and defect proneness. For the four medium to large open source projects that we studied, we find that, first, the great majority of bugs are not significantly associated with clones. Second, we find that clones may be less defect prone than non-cloned code. Third, we find little evidence that clones with more copies are actually more error prone. Fourth, we find little evidence to support the claim that clone groups that span more than one file or directory are more defect prone than collocated clones. Finally, we find that developers do not need to put a disproportionately higher effort to fix clone dense bugs. Our findings do not support the claim that clones are really a “bad smell”?(Fowler et?al. 1999). Perhaps we can clone, and breathe easily, at the same?time. 相似文献
28.
Computer aided design of microwave monolithic integrated circuits must combine two different fields. The first domain is the simulation of microwave circuits taking into account non linear aspects development of time domain and harmonic balance simulation algorithms specialized for microwave circuits. In the second place are found, the layout algorithms which were developed for logic circuits (on Si or GaAs). The association of these two types of algorithms leads to the constitution of aCad workstation for microwave monolithic integrated circuits. Two examples of design and realization of integrated circuits with these tools are presented. 相似文献
29.
30.
We investigate a metric facility location problem in a distributed setting. In this problem, we assume that each point is a client as well as a potential location for a facility and that the opening costs for the facilities and the demands of the clients are uniform. The goal is to open a subset of the input points as facilities such that the accumulated cost for the whole point set, consisting of the opening costs for the facilities and the connection costs for the clients, is minimized. We present a randomized distributed algorithm that computes in expectation an ${\mathcal {O}}(1)$ -approximate solution to the metric facility location problem described above. Our algorithm works in a synchronous message passing model, where each point is an autonomous computational entity that has its own local memory and that communicates with the other entities by message passing. We assume that each entity knows the distance to all the other entities, but does not know any of the other pairwise distances. Our algorithm uses three rounds of all-to-all communication with message sizes bounded to $\mathcal{O}(\log(n))$ bits, where n is the number of input points. We extend our distributed algorithm to constant powers of metric spaces. For a metric exponent ?≥1, we obtain a randomized ${\mathcal {O}}(1)$ -approximation algorithm that uses three rounds of all-to-all communication with message sizes bounded to $\mathcal{O}(\log(n))$ bits. 相似文献