what are the advantages and disadvantages of Matching Pursuit Algorithms for Sparse Approximation? and if there are alternative method better than Matching Pursuit
To my knowledge, the result depends on the atoms in your dictionary. Hence if you do not have atoms that fit your problem well, you will converge to a really bad solution. It also depends on what you would like to approximate. Short time series can work quite well, but if your data is quite large, performing an atom decomposition can be very time consuming. All in all, it depends on the data you want to approximate.
On the plus side, it is quite easy to code up, for instance have a look at the LASSO algorithm.
There is also the option of Basis Pursuit, which is a more general approach and optimizes the L1 norm instead of L2. I just read the original paper and it sounded quite good, but I did not follow up on how well it performs compared with MP.