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In a multi-parameter learning problem, besides choosing the architecture of the learner, there is the problem of finding the optimal parameters to get maximum performance. When the number of parameters to be tuned increases, it becomes infeasible to try all the parameter sets, hence we need an automatic mechanism to find the optimum parameter setting using computationally feasible algorithms. In this paper, we define the problem of optimizing the architecture of a hidden Markov model (HMM) as a state space search and propose the MSUMO (model selection using multiple operators) framework that incrementally modifies the structure and checks for improvement using cross-validation. There are five variants that use forward/backward search, single/multiple operators, and depth-first/breadth-first search. On four hand gesture data sets, we compare the performance of MSUMO with the optimal parameter set found by exhaustive search in terms of expected error and computational complexity.