The article analyzes the main content, functions and cognition possibilities of the three main methods of constructing physical theories: a thought experiment, mathematical hypothesis and the method of symmetries. The author follows the understanding of scientific theory as a special kind of scientific knowledge that is qualitatively different from both the sensory and empirical levels of scientific knowledge. He believes that the different levels of scientific knowledge are of particular ontology and a special object of his description. The subject of scientific theories, including physical, is a special kind of reality. This is a theoretical reality that is constructed by scientists from the objects and relations of empirical reality using such method as idealization. The main task of a scientific theory is finding and formulation of scientific laws that exist between ideal objects of theory and govern their relationships with each other. Accordingly, the special subject of scientific theory and there are special methods of construction of scientific and theoretical knowledge as knowledge of ideal objects. On the example of physical science and its history shows that during the formation and development of physical theories was invented three main methods of constructing physical theories. This is a thought experiment, mathematical hypothesis and the method of symmetries. All of these methods actually appeared only in the New Time, the time of formation of classical physics. The Creator of all three methods can rightly be called a city of Galilee. The method of thought experiment, he had received the law of inertia, the method of mathematical hypothesis - the law of free fall, and the method of symmetries was proof of the invariance of the laws of mechanics for different inertial reference frames. On the work of another physicist theorist Maxwell it is shown that the method of thought experiment, he proved the existence of a bias current, and the possibility of propagation of electromagnetic waves in vacuum. Using the method of mathematical hypotheses Maxwell formulated the basic mathematical equations of the electromagnetic theory. However, he failed to prove using the method of symmetry is the invariance of the laws of electrodynamics in different inertial reference frames. This problem was partially solved by G. Lorentz, and finally A. Einstein, Creator of the theory of relativity. They are actively used all three main methods of constructing a physical theory. Especially actively and fruitfully A. Einstein used a thought experiment method and the method of symmetries. And one of the founders of quantum mechanics, W. Heisenberg actively used the other main method of constructing physical theories - the method of mathematical hypotheses. In the middle of the twentieth century was finally realized the fundamental role of the method of symmetries in the
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