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I have a dataset which is labelled with bucketized numerical values. (0-2, 3-8 ... for example).

I can transform these values into their centroid and perform a regression but I think the best would be to classify these value according to the original label.

Do you know an algorithm able to perform a classification with numerical and ordered labels ?

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Decision tree algorithms like CART (Classification and Regression Trees) can handle this sort of data and Random Forests can as well. These methods will not make use of the ordering of the bins. They will simply be treat the data as labels, but they can certainly be used for regression.

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