A Hamilton-Jacobi-Bellman (HJB) equation based optimal control algorithm is proposed for the robust control of a bilinear system. The HJB equation is formulated using a suitable cost functional to tackle system uncertainties and constraints on the input. Utilizing the Lyapunov direct method, the controller is shown to be optimal with respect to a cost, which include penalty on the control effort and system states, and upper bound on the system uncertainties. The controller requires the knowledge of the maximum bound of system uncertainties. In the proposed algorithm, Neural Network (NN) is...