Hybrid classical quantum optimization methods have become an important tool for efficiently solving problems in the current generation of noisy intermediate-scale quantum computers. These methods use an optimization algorithm executed in a classical computer, fed with values of the objective function obtained in a quantum processor. A proper choice of optimization algorithm is essential to achieve good performance. Here, we review the use of first-order, second-order, and quantum natural gradient stochastic optimization methods, which are defined in the field of real numbers, and propose stochastic algorithms defined in the field of complex numbers. The performance of all methods is evaluated by means of their application to variational quantum eigensolver, quantum control of quantum states, and quantum state estimation. In general, complex number optimization algorithms perform best, with first-order complex algorithms consistently achieving the best performance, closely followed by complex quantum natural algorithms, which do not require expensive hyperparameter calibration. In particular, the scalar formulation of the complex quantum natural algorithm allows to achieve good performance with low classical computational cost.