A design method of LQ optimal control law is considered for constrained continuous-time systems. By introducing singular value decomposition for finite-time horizon linear systems, the sequence of LQ sub-optimal control laws, which converges to the exact solution, is obtained based on quadratic programming. It is also shown that the nonlinear sub-optimal feedback gain is found by the union of affine state functions. (C) 2004 Elsevier Ltd. All rights reserved.