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my hosting facility replaced disk /dev/sda for me and I've added it to the RAID via

sgdisk -R /dev/sda /dev/sdb

mdadm /dev/md0 -a /dev/sda1
mdadm /dev/md1 -a /dev/sda2 
mdadm /dev/md2 -a /dev/sda3

cat /prod/mdstat looks fine to me:

Personalities : [raid1] [raid0] [raid10] [raid6] [raid5] [raid4] 
md2 : active raid1 sda3[0] sdb3[1]
      729952192 blocks [2/2] [UU]

md1 : active raid1 sda2[0] sdb2[1]
      524224 blocks [2/2] [UU]

md0 : active raid1 sda1[0] sdb1[1]
      2096064 blocks [2/2] [UU]

But when I reboot it doesn't work. When I do a grub-install /dev/sda it says

/usr/sbin/grub-setup: warn: This GPT partition label has no BIOS Boot Partition; embedding won't be possible!. /usr/sbin/grub-setup: error: embedding is not possible, but this is required when the root device is on a RAID array or LVM volume.

When I try a grub-install /dev/sda1 it says

/usr/sbin/grub-setup: error: unable to identify a filesystem in hd0,gpt1; safety check can't be performed.

Do I miss a step to get sda back to boot?

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You need to check up on parted. I think you need to do something like this:

parted /dev/hda
set <partition number> bios_grub on

Once you have that going, grub should be able to figure out where to put stuff. Then do this - or your own variation:

grub-install --modules=raid --no-floppy /dev/sda

This should make grub work again. I found lots of useful hints for doing much the same thing here.

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