1. A robot with a learning control function comprising: a robot mechanism unit; a learning control unit for obtaining data on positional deviation of said robot mechanism unit upon execution of a task program and executing a learning control for calculating a learning correction amount in order to decrease said positional deviation of said robot mechanism unit below a certain value; and a normal control unit for executing a learning operation of said robot mechanism unit in order to obtain said data on positional deviation during said learning control and executing an actual operation of said robot mechanism unit based on said learning correction amount calculated by said learning control unit after executing said learning control; wherein said learning control unit repeats a process until positional deviation decreases to less than or equal to a predetermined value, said process includes executing said learning operation, calculating learning correction amount based on obtained data on positional deviation, executing next learning operation by using said calculated learning correction amount, and calculating new learning correction amount based on obtained data on positional deviation, and wherein said robot further includes an anti-exception processing unit for executing an anti-exception process in the case where an exception process occurs during said learning operation or said actual operation, said anti-exception process is process for decreasing of operation speed of said robot mechanism unit to a predetermined safe speed and setting said learning correction amount to zero.