We develop a new machine learning algorithm, Via Machinae, to identify cold stellar streams in data from the Gaia telescope. Via Machinae is based on ANODE, a general method that uses conditional density estimation and sideband interpolation to detect local overdensities in the data in a model agnostic way. By applying ANODE to the positions, proper motions, and photometry of stars observed by Gaia, Via Machinae obtains a collection of those stars deemed most likely to belong to a stellar stream. We further apply an automated line-finding method based on the Hough transform to search for line-like features in patches of the sky. In this paper, we describe the Via Machinae algorithm in detail and demonstrate our approach on the prominent stream GD-1. A companion paper contains our identification of other known stellar streams as well as new stellar stream candidates from Via Machinae. Though some parts of the algorithm are tuned to increase sensitivity to cold streams, the Via Machinae technique itself does not rely on astrophysical assumptions, such as the potential of the Milky Way or stellar isochrones. This flexibility suggests that it may have further applications in identifying other anomalous structures within the Gaia dataset, for example debris flow and globular clusters.
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