documentclass{article}
usepackage{hyperref}
usepackage{amsmath, bm, multirow,booktabs,mathtools}
usepackage{setspace, relsize, booktabs, needspace, epic}
usepackage{longtable, color, colortbl, lscape, dcolumn}
usepackage[table]{xcolor}

begin{document}
<<fig_test,eval=TRUE>>=
pdf("test_fig.pdf")
par(las=1, cex.axis=1.5,cex.lab=1.5,cex.main=1.5)
plot(x=c(1,5.1), y=c(0.75,3), typ='n',
main=expression(paste('X(',alpha[1],')',sep='')),ylab='',xlab='')
graphics.off()
@

begin{figure}
caption{Caption}
centering
includegraphics[scale=0.5]{"test_fig"}⁩
end{figure}

end{document}

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  U+2069 POP DIRECTIONAL ISOLATE