The main difference between PDW and Azure SQL data warehouse is that the Parallel Data warehouse is an Infrastructure as a Service. This means that you will always need an on-premise virtual machine to run it. Patches will have to also be applied separately when needed.
However, Azure SQL data warehouse is a Platform as a service. That is that it is on the cloud.
Other minor differences also include the fact that PDW scaling is through adding capacity while SQL scaling is done dynamically and can also be paused to reduce costs.
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