I haven't done much functional programming, so I have a question regarding how this is done.

From what I understand, functional programming usually avoids side effects, so mutable data structures are replaced by immutable data structures. So instead of modifying an existing data structure, a new data structure is created containing the modification.

So how does this work with games? When you modify the game state, is the entire thing copied into a new game state? Doesn't that really slow the game down when the game state is large and changes are frequent? Is there some trick to this that avoids unnecessary copying?