A novel approach is proposed to suppress bounded exogenous disturbances in linear control systems using a PI controller. The approach is based on reducing the original problem to a nonconvex matrix optimization problem. A gradient method for finding the controller’s parameters is derived and its justification is provided. The corresponding recurrence procedure is rather effective and yields quite satisfactory controllers in terms of engineering performance criteria. This paper continues a series of the author’s research works devoted to the design of feedback control laws from an optimization point of view.