Sampling Big Data for Predictive Analytics in Python
This is what I do in projects :


Pre-process data in DB / Data Lake. aim is to :
A. Form batches (might require a new table with shuffled indices)
B. Create a copy with Normalization and other feature related tasks 


After this, try algorithms that support batch learning. Neural networks support batch learning and few other algos (https://sklearn.org/modules/scaling_strategies.html#incremental-learning).

With batch learning, you can plot loss for each batch and see if algo is working or not.