updated optuna_search to allow users to configure optuna storage

[ravi-dalal]

Why are these changes needed?

The OptunaSearch currently uses in-memory storage and does not provide a way to configure any other storages (e.g. database). This update add a configurable parameter to OptunaSearch that can be set to a valid Optuna Storage.

Related issue number

Closes #48500

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• I've run scripts/format.sh to lint the changes in this PR.
• I've included any doc changes needed for https://docs.ray.io/en/master/.
  • I've added any new APIs to the API Reference. For example, if I added a
    method in Tune, I've added it in doc/source/tune/api/ under the
    corresponding .rst file.
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• Testing Strategy
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[ravi-dalal]

@hongpeng-guo @justinvyu @matthewdeng @raulchen @woshiyyya could you please take a look at this PR?

[hongpeng-guo]

@ravi-dalal Thanks for contributing to the ray project! Left a few comments. One question that I have is on the study_name argument, please elaborate more why this arg is necessary to be here with the storage.

[ravi-dalal]

@hongpeng-guo Thank you for taking time to review this PR. I updated the PR following your comments. PTAL when you get time.

[ravi-dalal]

@hongpeng-guo gentle reminder to take another look at this PR. Thank you!

[ravi-dalal]

@hongpeng-guo @justinvyu @matthewdeng apologies for bugging you again. could you please take a look at this PR? I think it is very close to be ready to get merged, so you may not have to spend much time on it. Thanks!

[hongpeng-guo]

Thanks a lot for contributing! I think it looks good in general. Could you please add some unit tests before we can merge this PR?

[ravi-dalal]

@hongpeng-guo is python/ray/tune/tests/test_searchers.py the right place to add unit tests?

[hongpeng-guo]

@hongpeng-guo is python/ray/tune/tests/test_searchers.py the right place to add unit tests?

Yes, it is the correct place to test optuna searchers. Basically, we want to show that when storage are configured, the testOptuna functions are still functions as exepcted.

[ravi-dalal]

@hongpeng-guo is python/ray/tune/tests/test_searchers.py the right place to add unit tests?

Yes, it is the correct place to test optuna searchers. Basically, we want to show that when storage are configured, the testOptuna functions are still functions as exepcted.

Thanks for confirmation, @hongpeng-guo . I added storage to existing testOptuna functions. PTAL. Let me know if you would prefer to add separate functions instead of updating existing ones.