Selecting the best Machine Learning algorithm for your regression problem

When approaching any type of Machine Learning (ML) problem there are many different algorithms to choose from. In machine learning, there's something called the "No Free Lunch" theorem which basically states that no one ML algorithm is best for all problems. The performance of different ML algorithms strongly depends on the size and structure of your data. Thus, the correct choice of algorithm often remains unclear unless we test out our algorithms directly through plain old trial and error. But, there are some pros and cons to each ML algorithm that we can use as guidance.