Currently, Azure SQL Database has ML Services with R available in preview.
In this video, Anna Hoffman gives a brief overview of how you can use an open source package called sqlmlutils to easily connect and add/remove packages to Azure SQL Database. You can find a full example of using R, sqlmlutils, and revoscale in this GitHub repository.
How to manage R packages in Azure SQL Database with sqlmlutils | Data Exposed
Source: MSDN Channel 9