It was first shown by Jacobs, in 2003, that the process of qubit state purification by continuous measurement of one observable can be enhanced, on average, by unitary feedback control. Here, we quantify this by the reduction in any one of the family of Rényi entropies α S , with α < < ∞ 0 , at some terminal time, revealing the rich structure of stochastic quantum control even for this simple problem. We generalize Jacobs' original argument, which was for the (unique) impurity measure with a linear evolution map under his protocol, by replacing linearity with convexity, thereby making it applicable to Rényi entropies α S for α in a finite interval about one. Even with this generalization, Jacobs' argument fails to identify the surprising fact, which we prove by Bellmanʼs principle of dynamic programming, that his protocol is globally optimal for all Rényi entropies whose decrease is locally maximized by that protocol. Also surprisingly, even though there is a range of Rényi entropies whose decrease is always locally maximized by the null-control protocol, that null-control protocol cannot be shown to be globally optimal in any instance. These results highlight the non-Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence. Any further distribution of this work must maintain attribution to the author(s) and the title of the work, journal citation and DOI.intuitive relation between local and global optimality in stochastic quantum control.