The fine folks at Microsoft have put together an excellent Single Page Cheatsheet for Azure Machine Learning Algorithms. It is very helpful for Azure, but it is also helpful for understanding when and why to use a particular algorithm. Here is the machine learning algorithm cheatsheet.

Start in the large blue box, “What do you want to do?” Then follow the lines out to match what you would like to solve. For example, maybe you have some data and you want to predict whether a customer will purchase or not. You want to predict “Will Purchase” or “Will Not Purchase”. Thus you are trying to predict between two categories. Here is how you work through the diagram.

1. Start at “What do you want to do?”
2. Follow the thin blue line labeled “Predict between two categories”
3. Arrive at the Two-Class Classification box
4. Choose from the algorithms in the box

Helpful, don’t you think?