Jose Manuel Jurado Diaz comes up with a solution:
Azure SQL Database is a powerful platform that provides managed database services with built-in intelligence and robust resource management. While Azure SQL Database doesn’t have a direct implementation of the traditional Resource Governor feature available in SQL Server, we can explore a pseudo-Resource Governor approach using user-defined functions and custom tables. In this article, we’ll discuss the concept, present a sample implementation using a custom function, and highlight the possibilities it opens up for controlling CPU resources in Azure SQL Database.
Click through for the UDF and how to use it. My first inclination was to say that I couldn’t see it working well at all under load, though on second thought, performance won’t be bad like having a UDF execute for each row in a table, so it’s probably more of a manageable overhead.