Follow your switching regulator or rectifier with some analog filtering, then a linear regulator to convert the remaining ripple to heat. It doesn't have to be very expensive, and only loses a little efficiency. I have LED light bulbs that work like this.
> then a linear regulator to convert the remaining ripple to heat.
I've become much less of a fan of the "switchilinear" approach. The control loop of a linear regulator isn't fast enough to respond to fast switching frequencies; the regulator is effectively just a resistor in a filter network at that point.
Even if your switching frequency is in the regulator's loop bandwidth, the loop's gain at that frequency is almost certainly very low.
Ususally they use PWM for controlling the brightness because LEDs change their spectrum with voltage change and this is undesirable. That's why PWM is used in laptop and smartphone screens.
