Robustness is a fundamental concept in systems science and engineering. It is a critical consideration in all inference and decision-making problems. It has recently surfaced again in the context of machine learning (ML), reinforcement learning (RL) and artificial intelligence (AI). We describe a novel and unifying theory of robustness for ML/RL/AI emanating from our much earlier fundamental results on robust output feedback control for general systems (including nonlinear, HMM and set-valued). We briefly summarize this theory and the universal solution it provides consisting of two coupled HJB equations. These earlier results rigorously established the equivalence of three seemingly unrelated problems: the robust output feedback control problem, a partially observed differential game, and a partially observed risk sensitive stochastic control problem. We first show that the "four block" view of the above results leads naturally to a similar formulation of the robust ML problem, and to a rigorous path to analyze robustness and attack resiliency in ML. Then we describe a recent risk-sensitive approach, using an exponential criterion in deep learning, that explains the convergence of stochastic gradients despite over-parametrization. Finally, we describe our most recent results on robust and risk sensitive RL for control, using exponential rewards, that emerge from our earlier theory, with the important new extension that the models are now unknown. We show how all forms of regularized RL can be derived from our theory, including KL and Entropy regularization, relation to probabilistic graphical models, distributional robustness. The deeper reason for this unification emerges: it is the fundamental tradeoff between performance and risk measures in decision making, via rigorous duality. We close with open problems and future research directions.