Constrained continuous processes can be optimally controlled through dynamic programming techniques that solve it as a numeric sequence. These techniques are a powerful tool, regardless the nature of the system and its proposed performance index. This technique is a powerful tool, regardless the system’s nature and arbitrary performance index. However, some problems may arise in calculations as the problem dimensionality increases –a factor closely related to the desired accuracy for the numeric solution. An alternative is used here to solve the dimensionality problem, both to approach the performance index and the control law. The present work aims at outlining the approximate optimal control applied to infinite horizon continuous processes. A main contribution is to generate an application methodology that ensures the convergence of the algorithm. Upon obtaining the approximate control law, a comparative analysis of the controller performance demonstrates the potential of the proposed control scheme.