I have a post on two gotchas you might run into around Resource Governor throttling SQL Server Machine Learning Services:
By default, SQL Server will grant 20% of available memory to any R or Python scripts running. The purpose of this limit is to prevent you from hurting server performance with expensive external scripts (like, say, training large neural networks on a SQL Server).
Here’s the kicker: this affects you even if you don’t have Resource Governor enabled. If you see out-of-memory exceptions in Python or error messages about memory allocation in R, I’d recommend bumping this max memory percent up above 20, and I have scripts to help you with the job. Of course, making this change assumes that your server isn’t stressed to the breaking point; if it is, you might simply want to offload that work somewhere else.
Click through for the other issue.