I have some free Azure student credit so I decided to try to use some Azure VMs to train some of my models yesterday. I soon realized that a student account does not include a quota for any GPU more powerful than a K80 and with a student account there is no way to request increased quota. However, the student account does include a quota for "low priority instances" or spot instances, which are pre-emptible. So I set up a spot VM.
On AWS sometimes spot VMs can go for days before being pre-empted. Not so on Azure. I tried about a half dozen times, and no instance ever lasted long enough to complete even half an epoch, or about an hour. I was very disappointed because the spot prices were much better than AWS spot prices. For Azure spot instances you can set a price you are willing to pay, but even setting the price above the on demand price didn't make any difference.
My final complaint about Azure VMs is the shortage of images. AWS has a huge number of images for deep learning so you can basically just start the instance and you are set to go. Azure only has a few such images and they still required considerable configuration and installation of packages, which is made especially difficult by the fact that the instance kept shutting down.
I may use Azure on-demand VMs in the future, but the spot instances were largely useless.