You could use "ease float" to animate a variable for use as your alpha value.
Create 3 floats:
a) representing your maximum alpha value
b) representing your minimum alpha value
c) representing your current alpha value (the one to be animated)
"a" would be the "From Value", "b" would be the "To Value" and "c" would be the "Float Variable". The "Ease Float" action allows you to tweak a few parameters of the animation too.
So to then use this animated float as your alpha channel value, apply a "Set Color RGBA" action to the same state.
This is one of a number of methods you could use.