A new method for H-infinity gain-scheduled controller design by convex optimization is proposed that uses only frequency-domain data. The method is based on loop shaping in the Nyquist diagram with constraints on the weighted infinity-norm of closed-loop transfer functions. This method is applied to a benchmark for adaptive rejection of multiple narrow-band disturbances. First, it is shown that a robust controller can be designed for the rejection of a sinusoidal disturbance with known frequency. The disturbance model is fixed in the controller, based on the internal model principle, and the other controller parameters are computed by convex optimization to meet the constraints on the infinity-norm of sensitivity functions. It is shown next that a gain scheduled-controller can be computed for a finite set of disturbance frequencies by convex optimization. An adaptation algorithm is used to estimate the disturbance frequency which adjusts the parameters of the internal model in the controller. The simulation and experimental results show the good performance of the proposed control system.