Policy optimization (PO) is a key ingredient for modern reinforcement learning (RL), an instance of adaptive optimal control (Sutton et al., 1992). For control design, certain constraints are usually enforced on the policies to optimize, accounting for either the stability, robustness, or safety concerns on the system. Hence, PO is by nature a constrained (nonconvex) optimization in most cases, whose global convergence is challenging to analyze in general. More importantly, some constraints that are safety-critical, e.g., the closed-loop stability, or the H ∞ -norm constraint that guarantees the system robustness, can be difficult to enforce on the controller being learned as the PO methods proceed. Recently, policy gradient methods have been shown to converge to the global optimum of linear quadratic regulator (LQR), a classical optimal control problem, without regularizing/projecting the control iterates onto the stabilizing set (Fazel et al., 2018;Bu et al., 2019a), the (implicit) feasible set of the problem. This striking result is built upon the property that the cost function is coercive, ensuring that the iterates remain feasible and strictly separated from the infeasible set as the cost decreases. In this paper, we study the convergence theory of PO for H 2 linear control with H ∞ -norm robustness guarantee, for both discrete-and continuous-time settings. This general framework includes risk-sensitive linear control as a special case. One significant new feature of this problem is the lack of coercivity, i.e., the cost may have finite value around the boundary of the robustness constraint set, breaking the existing analyses for LQR. Interestingly, among the three proposed PO methods motivated by (Fazel et al., 2018;Bu et al., 2019a), two of them enjoy the implicit regularization property, i.e., the iterates preserve the H ∞ robustness constraint as if they are regularized by the algorithms. Furthermore, convergence to the globally optimal policies with globally sublinear and locally (super-)linear rates are provided under certain conditions, despite the nonconvexity of the problem. To the best of our knowledge, our work offers the first results on the implicit regularization property and global convergence of PO methods for robust/risk-sensitive control. Our proof techniques for implicit regularization are of independent interest, and may be used for analyzing other PO methods under H ∞ robustness constraints and non-coercive costs.