This text outlines an approach to constructing optimal feedback controls for linear control systems that are under the influence of constantly acting bounded perturbations. The optimal synthesis problem is solved by using discrete time systems obtained from continous ones; feedback and output feedback are also examined within this context. In cases where only incomplete or imprecise data are available, algorithms for optimal estimators are described. Algorithms for optimal controllers are also constructed. In addition, an algorithm for optimal stabilization by bounded controls is proprosed, whilst the appendix of the book contains the outline of the adaptive method of programming which is the foundation for the approach used in the rest of the book.