In order to use database inputs, the recommendation is to install DB Connect on a (dedicated) heavy forwarder. This forwarder should be configured to forward the data to all indexers using load-balancing.
In order to use reporting features, such as lookups, ad-hoc queries or dboutput, DB Connect needs to be install on the search heads as well. Setup on search heads with pooling enabled requires some additional steps, see: http://splunk-base.splunk.com/answers/68598/java-access-bridge-not-running-with-search-head-pooling/72263
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