No indexes on small tables?
"We should forget about small efficiencies, say about 97% of the time: premature optimization is the root of all evil." (Donald Knuth). My SQL tables are unlikely to contain more than a few thousand rows each (and those are the big ones!). SQL Server Database Engine Tuning Advisor dismisses the amount of data as irrelevant. So I shouldn't even think about putting explicit indexes on these tables. Correct?
The value of indexes is in speeding reads. For instance, if you are doing lots of SELECTs based on a range of dates in a date column, it makes sense to put an index on that column. And of course, generally you add indexes on any column you're going to be JOINing on with any significant frequency. The efficiency gain is also related to the ratio of the size of your typical recordsets to the number of records (ie grabbing 20/2000 records benefits more from indexing than grabbing 90/100 records). A lookup on an unindexed column is essentially a linear search.
The cost of indexes comes on writes, because every INSERT also requires an internal insert to each column index.
So, the answer depends entirely on your application -- if it's something like a dynamic website where the number of reads can be 100x or 1000x the writes, and you're doing frequent, disparate lookups based on data columns, indexing may well be beneficial. But if writes greatly outnumber reads, then your tuning should focus on speeding those queries.
It takes very little time to identify and benchmark a handful of your app's most frequent operations both with and without indexes on the JOIN/WHERE columns, I suggest you do that. It's also smart to monitor your production app and identify the most expensive, and most frequent queries, and focus your optimization efforts on the intersection of those two sets of queries (which could mean indexes or something totally different, like allocating more or less memory for query or join caches).
Knuth's wise words are not applicable to the creation (or not) of indexes, since by adding indexes you are not optimising anything directly: you are providing an index that the DBMSs optimiser may use to optimise some queries. In fact, you could better argue that deciding not to index a small table is premature optimisation, as by doing so you restrict the DBMS optimiser's options!
Different DBMSs will have different guidelines for choosing whether or not to index columns based on various factors including table size, and it is these that should be considered.
What is an example of premature optimisation in databases: "denormalising for performance" before any benchmarking has indicated that the normalised database actually has any performance issues.
Primary key columns will be indexed for the unique constraint. I would still index all foreign key columns. The optimizer can choose to ignore your index if it is irrelevant.
If you only have a little bit of data then the extra cost for insert/update should not be significant either.
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