To improve the chaotic characteristics of Lü system, a new four-dimensional continuous autonomous chaotic system, which can display a novel 4-scroll robust chaotic attractor, is established by adding a linear state feedback controller. By numerical simulating with phase portrait, Lyapunov exponent spectrum, bifurcation diagram and Poincaré mapping, this paper verifies that new system is chaotic in a wider control parameter range and robust with a positive and almost unchanged maximum Lyapunov exponent. This system can evolve from 4-scroll to 2-scroll chaotic attractor as the variation of control parameter. By adding a simple linear integration circuit to a chaotic Lü system, the new chaotic system is implemented by an experimental circuit. It is demonstrated that the experimental observations are remarkable consistent with the results given by numerical simulations.