0: Given training data set with, , the desired quantile value, and the total number of iterations M, initialize;

1: for to M do

2: Compute the negative gradient and evaluate at:

3: Fit the negative gradient vector to by the base procedure (weak leaner, e.g., linear regression, decision stump)

4: Update the estimation by

where is a step size factor for the mth iteration.

5: end for

6: Output the obtained classifier.