Supervised machine learning is the classification of new data based on already classified training examples. In this work, we show that the support vector machine, an optimized linear and non-linear binary classifier, can be implemented on a quantum computer, with exponential speedups in the size of the vectors and the number of training data examples. At the core of the algorithm is a non-sparse matrix simulation technique to efficiently perform a principal component analysis and matrix inversion of the training data kernel matrix. We thus provide an example of a quantum big feature and big data algorithm and pave the way for future developments at the intersection of quantum computing and machine learning.