Is It Possible To Run Sql Express Within A Azure Web Role?
Solution 1:
You might be able to run SQL Express using a custom VHD but you won't be able to rely on any data every being present on that VHD. The VMs are completely reset when they reboot - there is no physical persistence across reboots.
If you wanted to, you might be able to locate your entire SQL Server installation in Azure blob storage.
However, in doing all of this, you'll only be able to have one worker/web role that can use that database. Remember: a SQL Server database can only be attached to one SQL Server at a time. If you want to scale out, you'll have to create new SQL Server instances for every web/worker role.
Outside of cost concerns, I can't think of anything that is in SQL Express that should be a show stopper for 99.9% of applications out there.
Solution 2:
Adding to Jeremiah's answer: SQL Azure should give you nearly everything SQL Express does today, and you can use the Sync service to synchronize on-premise SQL Server with SQL Azure.
If you installed SQL Express into a VM role, you'd be consuming around $90 monthly just for that instance, plus blob storage (you'd want a Cloud Drive for durability). By definition, a VM Role (or any role) must support scale-out; if you were to scale to 2 instances for whatever reason, both instances would need their own copy of the database, so you'd need to create a blob snapshot for each instance.
Keep in mind, though, if you choose to install SQL Express in a VM: once you're at 2 instances, along with, say, 20GB per instance of blob storage, you're nearing $200 monthly and you're maintaining your VM's OS patches, SQL Express configuration and updates, failure recovery procedures, etc. In contrast, SQL Azure at 20GB, while costing the same $200, will offer better performance and works with the sync service, while completely removing any OS or database server management tasks from you.
Solution 3:
To add to the already existing answers and for anyone wondering if its a good idea to run SQL Express in the cloud: it does makes sense as a temporary storage area. Consider this architectural approach: say you're spinning up nodes to run jobs. Storing a gazillion of calculation results might be a good idea inside a local SQL Express for each node, and provide the aggregated responses immediately when the job finishes on the node. Transfer of the no longer hot results to off-prem SQL server for future reporting/etc can be done afterwords. SQL Azure may not be optimal from the volume/latency/cost perspective to store gazillion of results and ATS will not always fit the bill, especially when relational data, performance or existing code are involved.
Solution 4:
To expand on what David mentioned you can register for SQL Azure Data Sync CTP2 that would allow sync from SQL Server to SQL Azure here: http://www.microsoft.com/en-us/SQLAzure/datasync.aspx
Make sure to use CTP2 though since CTP1 did not support SQL Server.
Solution 5:
If it's a read only local cache - SQL CE 4 or SQLite.
Both have Entity Framework providers.
If you're writing to it - SQL Azure
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