Ok, here is my original variant (R2 is the load):
It worked pretty well, except I didn't like capacitors on the load for pulse smoothing - they should be pretty large, and thus not allowing faster pulses. And anyway, whole circuit was kind of not to my liking.
Now I'm working on this variant:
(Sorry for kind of messy schematic - it's work in progress with LOTS of tries).
Basic idea in this one is:
1) U1 + M1 measure current on R1, converting current to voltage on R6, with multiplication dependent on R6 value.
2) V2 is DAC that provides voltage to compare. If voltage on R6 exceeds one provided by V2, then U2 acts like a switch, opening Q2.
3) Q2 in turn decreases effective value of V3 (impulse DAC) on positive input of U3, this decreasing voltage on base of Q1
4) Decreased base voltage on Q1 decreases voltage on the load, thus decreasing current on R1.
Problem with this approach is that it is very unstable, and falls into oscillation. I understand that this is because U2 acts like a very sensitive switch, which is constantly on and off when voltage on R6 is close to V2. But, I have no idea what to fix, or how change the approach.