Fixed or variable frequency?
In general, there are two approaches:
1,) Wave shaping (example above, first reply)
2.) Lowpass filtering (only for one single frequency)
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Another method for wave shaping is the tanh-transfer-characteristic of the classical two-transistor differential amplifier.
Independent on frequency the soft-limiting characteristic "shapes" the triangle in a rather good sinusoidal wave - however for a fixed amplitude only (approx. 70-90 mvolts).