For the problem of selecting fixed and random effects in the mixed effects model,the paper proposes a multiple penalization regression process and gives the iterative algorithm of parameter estimation,the convergence of algorithm is also proved.For two kinds of special multi-penalized regression process,the paper makes a comparison analysis using the simulation data,the results show that the new method has good performance in different conditions,especially for its ability to deal with the high dimensional sparse mixed effect models.Fin...