Jennifer Marsman has some tips and tricks around using the Azure Data Science Virtual Machine on an instance running with GPU support:
To get GPU support, you need both hardware with GPUs in a datacenter, as well as the right software – namely, a virtual machine image that includes GPU drivers so you can use the GPU.
The biggest tip is to use the Deep Learning Virtual Machine! The provisioning experience has been optimized to filter to the options that support GPU (the NC series – see below), which make it easier to set it up correctly.
Read on for the rest of the advice.