add AzureML support

[EmmaNingMS]

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• Add unit tests for this change.
• Make sure all tests can pass.
• Update documents if necessary.
• Lint and apply fixes to your code by running lintrunner -a
• Is this a user-facing change? If yes, give a description of this change to be included in the release notes.
• Is this PR including examples changes? If yes, please remember to update example documentation in a follow-up PR.

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