We should know how much power you need at the output side, and how experienced you are in electronics, to give an optimal answer.
For smaller loads there are relatively easy schematics on the web (i. e.: http://www.drbob.net/project/powersupply/linear/12v1alvdfxd/default.html
), using op-amps with FET or transistor output. Because the output voltage depends on the reference voltage, changes in reference will result in changes at the output; if, for example, we replaced the reference diode with a shift register (or counter) - R2R ladder - op-amp block, the ref. voltage could be changed digitally. The drawback is that these are linear regulators, and may have high losses at high output currents.
PWM-controlled switchmode supplies are much better for high currents but those usually are more difficult to build, mainly when one must calculate and wind the coils by hand, and some devices need very careful filtering of the ripples of the generated voltage. Your application will determine the possibilities.