Electrolytic capacitors provide cheap uF, but their sound quality is "usually" disappointing. Good film capacitors are expensive. Paralleling a large electrolytic capacitor with a small capacitor is a text book approach.  How does it work?

You can see impedance Z(ohm) get improved by the smaller capacitor. However phase response (deg) does not get improved, dominated by a large capacitor.

​All measurements were taken on same test equipment. Result may vary with different test condition.
Panasonic FC 3300uF 25V + OS XSE 6.8uF 100V:
JJ 47uF 500V + Mundorf Mcap Supreme 0.1uF 1400V:
Panasonic FC 3300uF 25Vdc x2:
Obviously Impedance is lower (at low frequency) with paralleling. Paralleling capacitor is not necessary always better. If you look at phase response, single capacitor has far better phase response. This is almost the case.