Voltage regulators, in various flavors and configurations, are a common path for people who are attempting a continuous brightness lighting solution. However the solution is, unfortunately, very poor. While the method seems reasonable at first approach, it soon proves itself to be wholly unsuitable for almost all applications. This is because a number of reasons, as explained below:

	Voltage regulators have a high "voltage loss" and high "drop-out" voltage. This means that the input voltage has to be higher than the voltage you want out the other end, and at least 1.25 volts is lost in the regulator. This means your LED lights much later than it should. Your locomotive will be going down the track with its lights out, only lighting as you increase the speed.
	Voltage regulators are polarised, and must be protected against current flowing in the opposite direction. This usually involves a diode place inline with the regulator's input. This diode causes a further 0.5 - 0.6 volts decrease in available voltage. Your locomotive is going to have to be going some speed now before the LED will start to light.
	Driving LEDs by a voltage source does not reliably work. This is because LEDs have very low internal resistance, and so small differences in voltage will cause large differences in the current through the LED. Also different LEDs would require vastly different voltages to drive them. This make the solution messy, as you have to customise it for each LED you use.
	Voltage Regulators are subject to output spikes unless they are buffered with proper input and output capacitors. While these spikes are instantaneous and would not burn out an LED, they do place undue stress on the LED, and it could be expected to fail early if continued to be subject to the conditions. The addition of these capacitors is unsuitable for most applications simply due to size.
	Because voltage regulators are more complex to build, have more wires, and have to be customised for each LED, they are often too difficult to use for those unfamiliar with electronics and electronic theory.
	Solutions using Voltage Regulators are invariable large in size and costly to build. Once the necessary voltage setting resistors, protection diode/s, filter capacitors etc are added to the voltage regulator chip you usually find the unit is too big to fit in the locomotive!
	You will still need to have two units in each locomotive (one for each direction), and when all the components needed are assembled the approach ends up more expensive than should be expected.

So, if you are thinking of using voltage regulators as a method of continuous brightness lighting, I urge you to look past this solution. While it has had some acceptance in the past (as being the only option available), it is wholly unsuitable for use with the new white LEDs, and there are a number of circuits and methods now around (including the one I present here), which will give you far better performance with none of the grief...