Nowadays, a large amount of information has to be transmitted or processed. This implies high-power processing, large memory density, and increased energy consumption. In several applications, such as imaging, radar, speech recognition, and data acquisition, the signals involved can be considered sparse or compressive in some domain. The compressive sensing theory could be a proper candidate to deal with these constraints. It can be used to recover sparse or compressive signals with fewer measurements than the traditional methods. Two problems must be addressed by compressive sensing theory: design of the measurement matrix and development of an efficient sparse recovery algorithm. These algorithms are usually classified into three categories: convex relaxation, non-convex optimization techniques, and greedy algorithms. This paper intends to supply a comprehensive study and a state-of-the-art review of these algorithms to researchers who wish to develop and use them. Moreover, a wide range of compressive sensing theory applications is summarized and some open research challenges are presented.