I have a pretty large two-player zero-sum game in which each agent must choose between many actions. I am seeking an algorithm to approximate a mixed strategy for each player. Algorithmic simplicity and speed are more important than worse-case performance.
I realize this question is a bit vague. Thus, any algorithm not obviously dominated by another (i.e. the other performs better and is faster) is a good answer. Obviously, I'm not looking for the extremes of picking random strategies or finding the exact perfect strategies.