[tune] Add scikit-optimize to Tune (#3924)

doc/source/tune-searchalg.rst

@@ -103,6 +103,30 @@ An example of this can be found in `sigopt_example.py <https://github.com/ray-pr
     :show-inheritance:
     :noindex:
 
+Scikit-Optimize Search
+----------------------
+
+The ``SkOptSearch`` is a SearchAlgorithm that is backed by `Scikit-Optimize <https://scikit-optimize.github.io>`__ to perform sequential model-based hyperparameter optimization. Note that this class does not extend ``ray.tune.suggest.BasicVariantGenerator``, so you will not be able to use Tune's default variant generation/search space declaration when using SkOptSearch.
+
+In order to use this search algorithm, you will need to install Scikit-Optimize via the following command:
+
+.. code-block:: bash
+
+    $ pip install scikit-optimize
+
+This algorithm requires using the `Scikit-Optimize ask and tell interface <https://scikit-optimize.github.io/notebooks/ask-and-tell.html>`__. This interface requires using the `Optimizer <https://scikit-optimize.github.io/#skopt.Optimizer>`__ provided by Scikit-Optimize. You can use SkOptSearch like follows:
+
+.. code-block:: python
+
+    optimizer = Optimizer(dimension, ...)
+    run_experiments(experiment_config, search_alg=SkOptSearch(optimizer, parameter_names, ... ))
+
+An example of this can be found in `skopt_example.py <https://github.com/ray-project/ray/blob/master/python/ray/tune/examples/skopt_example.py>`__.
+
+.. autoclass:: ray.tune.suggest.SkOptSearch
+    :show-inheritance:
+    :noindex:
+
 Contributing a New Algorithm
 ----------------------------