To generate url using the Yii2 yii\helpers\Url to() or toRoute() method:
$url = yii\helpers\Url::to(['product/index', 'cat' => 'all']);
or:
$url = yii\helpers\Url::toRoute(['product/index', 'cat' => 'all']);
And you can then redirect in controller:
return $this->redirect($url);
Also note that the controller redirect() method is merely a shortcut to yii\web\Response::redirect(), which in turn passes it's first argument to: yii\helpers\Url::to(), so you can feed your route array in directly like so:
return $this->redirect(['product/index', 'cat' => 'all']);
Please Note: the other answer by @ali-masudianpour may have been correct in earliest versions of Yii2, but in later versions of Yii2 (including latest - 2.0.15 at time of writing), the Url helper methods only accept unidimensional arrays, which are in turn passed into yii\web\UrlManager methods like createUrl.