Spoken Dialogue Systems (SDS) are systems which have the ability to interact with human beings using natural language as the medium of interaction. A dialogue policy plays a crucial role in determining the functioning of the dialogue management module. Handcrafting the dialogue policy is not always an option, considering the complexity of the dialogue task and the stochastic behavior of users. In recent years approaches based on Reinforcement Learning (RL) for policy optimization in dialogue management have been proved to be an efficient approach for dialogue policy optimization. Yet most of the conventional RL algorithms are data intensive and demand techniques such as user simulation. Doing so, additional modeling errors are likely to occur. This paper explores the possibility of using a set of approximate dynamic programming algorithms for policy optimization in SDS. Moreover, these algorithms are combined to a method for learning a sparse representation of the value function. Experimental results show that these algorithms when applied to dialogue management optimization are particularly sample efficient, since they learn from few hundreds of dialogue examples. These algorithms learn in an off-policy manner, meaning that they can learn optimal policies with dialogue examples generated with a quite simple strategy. Thus they can learn good dialogue policies directly from data, avoiding user modeling errors.