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Efficient approaches to quantum control and feedback are essential for quantum technologies, from sensing to quantum computation. Open-loop control tasks have been successfully solved using optimization techniques, including methods like gradient-ascent pulse engineering (GRAPE), relying on a differentiable model of the quantum dynamics. For feedback tasks, such methods are not directly applicable, since the aim is to discover strategies conditioned on measurement outcomes. In this work, we introduce feedback-GRAPE, which borrows some concepts from model-free reinforcement learning to incorporate the response to strong stochastic (discrete or continuous) measurements, while still performing direct gradient ascent through the quantum dynamics. We illustrate its power considering various scenarios based on cavity QED setups. Our method yields interpretable feedback strategies for state preparation and stabilization in the presence of noise. Our approach could be employed for discovering strategies in a wide range of feedback tasks, from calibration of multi-qubit devices to linear-optics quantum computation strategies, quantum-enhanced sensing with adaptive measurements, and quantum error correction.