In this paper we eliminate the need for parameter estimation associated with the set covering machine (SCM) by directly minimizing generalization error bounds. Firstly, we consider a sub-optimal greedy heuristic algorithm termed the bound set covering machine (BSCM). Next, we propose the branch and bound set covering machine (BBSCM) and prove that it finds a classifier producing the smallest generalization error bound. We further justify empirically the BBSCM algorithm with a heuristic relaxation, called BBSCM(τ), which guarantees a solution whose bound is within a factor τ of the optimal. Experiments comparing against the support vector machine (SVM) and SCM algorithms demonstrate that the approaches proposed can lead to some or all of the following: 1) faster running times, 2) sparser classifiers and 3) competitive generalization error, all while avoiding the need for parameter estimation. 1 Motivation Two algorithms that use very different mechanisms in order to build their cl...