[Tune] Add ZOOpt search algorithm (#7960)

* add zoopt

* add zoopt search algo

* add zoopt

* fix zoopt

* add zoopt requirements

* fix zoopt

* remove generated guides

* Apply suggestions from code review

Co-authored-by: Richard Liaw <rliaw@berkeley.edu>

python/ray/tune/tests/test_tune_restore.py

@@ -17,6 +17,8 @@ from ray.tune.suggest.bayesopt import BayesOptSearch
 from ray.tune.suggest.skopt import SkOptSearch
 from ray.tune.suggest.nevergrad import NevergradSearch
 from ray.tune.suggest.sigopt import SigOptSearch
+from ray.tune.suggest.zoopt import ZOOptSearch
+from zoopt import ValueType
 from ray.tune.utils import validate_save_restore
 
 
@@ -288,6 +290,28 @@ class SigOptWarmStartTest(AbstractWarmStartTest, unittest.TestCase):
         super().testWarmStart()
 
 
+class ZOOptWarmStartTest(AbstractWarmStartTest, unittest.TestCase):
+    def set_basic_conf(self):
+        dim_dict = {
+            "height": (ValueType.CONTINUOUS, [-100, 100], 1e-2),
+            "width": (ValueType.DISCRETE, [0, 20], False)
+        }
+
+        def cost(dim_dict, reporter):
+            reporter(
+                loss=(dim_dict["height"] - 14)**2 - abs(dim_dict["width"] - 3))
+
+        search_alg = ZOOptSearch(
+            algo="Asracos",  # only support ASRacos currently
+            budget=200,
+            dim_dict=dim_dict,
+            max_concurrent=1,
+            metric="loss",
+            mode="min")
+
+        return search_alg, cost
+
+
 if __name__ == "__main__":
     import pytest
     import sys