Tim Radney walks us through some of the tools we have available to tune Azure SQL Databases:
Many instance-level items that you have been used to configuring on full installations are off limits. Some of these items include:
– Setting min and max server memory
– Enabling optimize for ad hoc workloads
– Changing cost threshold for parallelism
– Changing instance-level max degree of parallelism
– Optimizing tempdb with multiple data files
– Trace flags
Tim does point out workarounds for some of these and gives us the list of things which are possible, so check that out.