Over the last few months I have received many questions about SQL Server BI and Azure. Does this work and how to set up such an environment? Based on this, I have compiled a mind map with information on this. Most are already described on MSDN and the links included in the mind map.
But before then. Here is the short answer. Yes, you can set up SQL Server BI in Azure. You do this by setting up your own SQL Server VM in Azure. The databases need not be in the same environment. It may instead be Azure SQL Databases.


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