\documentclass[preview]{article}
\usepackage{float}
\usepackage{fancybox}
\usepackage{caption}
\floatstyle{ruled}
\newfloat{algorithm}{tbp}{loa}
\providecommand{\algorithmname}{Algorithm}
\floatname{algorithm}{\protect\algorithmname}
\usepackage{algorithm,algpseudocode}
\begin{document}
\pagenumbering{gobble}
\begin{algorithm}
\begin{algorithmic}
\Require An ordered list of $M$ splits, $\mathcal{R} = [R_1, R_2, R_3, \ldots, R3, \ldots, R_M]$
\State $\mathcal{C} = [R_1]$
\For{each split $i$ in $[2, 3 \ldots M]$}
   \State $\mathcal{T} \leftarrow \mathcal{C} + R_i$ \Comment{where `+' means concatenating 2 lists}
   \If{\textsc{BUILD}$(\mathcal{T})$ does not return null}
      \State $\mathcal{C} \leftarrow \mathcal{T}$
   \EndIf
\EndFor{}
\State\Return $\mathcal{C}$
\end{algorithmic}
\captionsetup{labelformat=empty}
\caption{\label{alg:ConsistentSplitsFromRankedList}\textbf{Algorithm} \texttt{ConsistentSplitsFromRankedList}}
\end{algorithm}

\end{document}