This happened to me. Thought someone was following me. Drove around in circles for a while. When I pulled into the police station, my tail new the jig was up and confessed.
Now that cell phones exist, call 911. Make a bunch of turns, so the PI doesn't know where you are going, and just show up at the police station. At a minimum, the police should caution the individual against stalking.
Q: Have you ever filed an insurance claim? Many insurance companies pay private investigators to take pictures of claimants, in order to find reasons to block a payout.