Training Model for Each Individual in AzureML

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I want to train an ANN model for each individual, in azure ml. For example, there is an application which wants to learn the behavior of each individual separately. How is this possible in azure-ml? Any suggestion?

As I know, I can create a model and train it with some data, but I don't know how can I train it specifically for each user. I should mention that I am seeking for a scalable idea which is applicable for a real situation (might be for 100 thousands users).

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I highly recommend the Create many Machine Learning models and web service endpoints from one experiment using PowerShell article on this topic. It uses Azure ML PowerShell to automate creation of web services that have identical structure but user-specific trained models. Your application would need to keep track of the correspondence between web service and user.