Sorry, I think you misunderstood my question. I already knew that specifying a hostname explicitly will work. However, I am interested in having the hostname automatically set - either on Splunk startup or machine startup or more often - to the FQDN of the machine at the time. Therefore if I ever change the hostname of the machine - which we do quite often here - the hostname Splunk uses will automatically changed as well. And Splunk actually have solution for MS Windows (use hostnameinfqdn in server.conf as mentioned above), but that does not work in Linux.
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