Its my 1st time using Azure ML
and I am having a rough time. I need to install multiple R packages
that are not provided by default in Azure
You can use miniCRAN (https://cran.r-project.org/web/packages/miniCRAN/index.html) to build the zip file with all dependencies included then upload the zip file and use it to install your required packages. It also allows you to choose the target platform (type="win.binary") and R version (RVersion="3.1") which are crucial when using Azure ML. There is a tutorial here (http://blog.revolutionanalytics.com/2015/10/using-minicran-in-azure-ml.html) that outlines the steps.