Bauxite is not a "high exothermic compound". Only chemical reactions can be qualified as exothermic or endothermic.
"large amounts of voltage"
The process requires very little voltage. They use between 4 to 8 V.
They do use high amounts of current, perhaps 10,000 A or 100,000 A.
Voltage does not represent energy. Energy is measured in Joules which is calculated as Volt * Amps * time_in_seconds.
Keep in minds that those are very large electrolytic baths with huge electrodes and that is why so much current passes through them. Of course, you can build a small one that consumes 1 A at home if you want.
Electrolysis is a slow process but it produces highly pure elements. It is used for a lot of other elements as well.
There are several reasons that electrolysis is used for aluminum and as you said, one of them is because aluminum's reactivity.
"Companies would like to use Self reduction "
I don't think that Al2S3 is available for one thing.
Besides, I'm sure that it has be researched A LOT and that other possible routes have been considered.