This article approaches the issue of the optimal control of a hypothetical anti-tank guided missile (ATGM) with an innovative rocket engine thrust vectorization system. This is a highly non-linear dynamic system; therefore, the linearization of such a mathematical model requires numerous simplifications. For this reason, the application of a classic linear-quadratic regulator (LQR) for controlling such a flying object introduces significant errors, and such a model would diverge significantly from the actual object. This research paper proposes a modified linear-quadratic regulator, which analyzes state and control matrices in flight. The state matrix is replaced by a Jacobian determinant. The ATGM autopilot, through the LQR method, determines the signals that control the control surface deflection angles and the thrust vector via calculated Jacobians. This article supplements and develops the topics addressed in the authors’ previous work. Its added value includes the introduction of control in the flight direction channel and the decimation of the integration step, aimed at speeding up the computational processes of the second control loop, which is the LQR based on a linearized model.