As outlined in the Azure Application Gateway Documentation, Application Gateway supports cookie based affinity enabling which it can direct subsequent traffic from a user session to the same server for processing.
apiVersion: extensions/v1beta1
kind: Ingress
metadata:
name: guestbook
annotations:
kubernetes.io/ingress.class: azure/application-gateway
appgw.ingress.kubernetes.io/cookie-based-affinity: "true"
spec:
rules:
- http:
paths:
- backend:
serviceName: frontend
servicePort: 80