What compression should be used in MariaDB?

MariaDB offers multiple compression methods : bzip2, lz4, lzma, lzo and snappy. Why are there so many? Which one is recommended to use? Why isn't zstd and option? If one compression method is adopted with e.g. SET GLOBAL innodb_compression_algorithm = lz4; and it turns out some other method would be better, is there any way to migrate to another method in-place or does it require a full logical dump-and-restore cycle?