For a linear dynamical system with control and disturbance, a feedback control problem is considered, in which the Euclidean norm of a set of deviations of the system’s motion from given targets at given instants of time is optimized. The problem is formalized into a differential game in “strategy-counter strategy” classes. A game value computing procedure which reduces the problem to a recursive construction of upper convex hulls of auxiliary functions is justified. Results of numerical simulations are presented.