What is the use of these capacitors in this circuit?
The circuit in question redrawn to make clearer: -




C1 - bulk low frequency reservoir capacitor
C2 - high frequency reservoir capacitor
C3 - reference supply decoupler
C4 - bulk low frequency output reservoir capacitor
C5 - high frequency output reservoir capacitor


Remove any and you degrade performance. I can't tell you how much and I'm not getting into alternatives - do some googling and use the reference names I gave them. The fact that I can give them reference names must mean all are fairly important!