Abstract: Many policy optimization approaches in reinforcement learning incorporate a Kullback-Leilbler (KL) divergence to the previous policy, to prevent the policy from changing too quickly. This idea was initially proposed in a seminal paper on Conservative Policy Iteration, with approximations given by algorithms like TRPO and Munchausen Value Iteration (MVI). We continue this line of work by investigating a generalized KL divergence---called the Tsallis KL divergence. Tsallis KL defined by the $q$-logarithm is a strict generalization, as $q = 1$ corresponds to the standard KL divergence; $q > 1$ provides a range of new options. We characterize the types of policies learned under the Tsallis KL, and motivate when $q >1$ could be beneficial. To obtain a practical algorithm that incorporates Tsallis KL regularization, we extend MVI, which is one of the simplest approaches to incorporate KL regularization. We show that this generalized MVI($q$) obtains significant improvements over the standard MVI($q = 1$) across 35 Atari games.