This paper deals with the design of a low-order H_∞ controller by using an iterative linear matrix inequality (LMI) method. The low-order H_∞ controller is represented in terms of LMIs with a rank condition. To solve the non-convex rank-constrained LMI problem, the recently developed penalty function method is applied. With an increasing sequence of the penalty parameter, the solution of the penalized optimization problem moves towards the feasible region of the original non-convex problem. Numerical experiments showed the effectiveness of the proposed algorithm.