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I'm looking for a way to set up a nightly job that will run a small SQL Script, to rebuild fragmented indexes on an Azure SQL database. Resources I have found online seem to be either dated, or involve setting up the job on a local machine.

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Two easy options:

Web Jobs

You can run programs or scripts in WebJobs in Azure App Service web app. Any script written in The following file types are accepted:

  • .cmd, .bat, .exe (using windows cmd)
  • .ps1 (using powershell)
  • .sh (using bash)
  • .php (using php)
  • .py (using python)
  • .js (using node)
  • .jar (using java)

https://docs.microsoft.com/en-us/azure/app-service-web/web-sites-create-web-jobs

Azure Automation

Basically allows you to run anything that can be executed with PowerShell cmdlets on a schedule, continuous or on-demand way.

https://docs.microsoft.com/en-us/azure/automation/automation-intro

Azure Automation comes with 500min. free. If you need assistance setting up the basics here's a good setup guide.

Getting Started Querying your Azure SQL Database in PowerShell

https://www.mssqltips.com/sqlservertip/4224/getting-started-querying-your-azure-sql-database-in-powershell/

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To perform scheduled tasks on Azure, in addition to Web Jobs and Automation Accounts as Bruno mentioned, you can also use Azure Functions:

Azure Functions is a solution for easily running small pieces of code, or "functions," in the cloud. You can use your development language of choice, such as C#, F#, Node.js, Python or PHP.

...

Azure Functions supports triggers, which are ways to start execution of your code.

TimerTrigger - executes cleanup or other batch tasks on a predefined schedule.

MSDN: Introduction to Azure Functions

Here is a good example how to create a scheduled SQL task with Azure Functions on MSDN: Use Azure Functions to perform a scheduled clean-up task

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