Once the pan is hot, add butter or fat to the pan. After it is shimmering, add the seasoned filets and cook 5 minutes per side for medium rare. Remove the filets from the pan and let rest on a plate while making the sauce.
At this point, preheat your broiler- a toaster oven is fine for melting the cheese.
To the still hot pan, add the butter and shallots and mushrooms and sauté until mushrooms are slightly browned- about 3 minutes. Season them lightly with salt, pepper, smoked paprika, thyme, and lemon zest. Stir together.
Pour in the brandy or madeira if using and the beef broth. Let simmer 1 minute before adding the heavy cream. Cook gently until the cream thickens lightly. Remove from heat.
Brown the goat cheese under the broiler - this takes about 4 minutes.