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We propose and investigate a scheme based on Markovian feedback control that allows for the preparation of single targeted eigenstates of a system of bosonic atoms in a one-dimensional optical lattice with high fidelity. It can be used for in situ cooling the interacting system without particle loss, for both weak and strong interactions, and for experimentally preparing and probing individual excited eigenstates. For that purpose the system is assumed to be probed weakly via homodyne detection of photons that are scattered off-resonantly by the atoms from a structured probe beam into a cavity mode. By applying an inertial force to the system that is proportional to the measured signal, the system is then guided into a pure target state. The scheme is found to be robust against reduced measurement efficiencies.