Hi Rajesh,
Yes, Microsoft SQL Server will be required on an edge gateway PI System, as it is a requirement for the AF Server. Since this will be a lightweight edge gateway, our recommendation would be to use Microsoft SQL Server Express. However, any version of Microsoft SQL Server can be used, but the edge gateway's resources must be taken into account.
You may also wish to read through this FAQ
on Nov 8, 2016
PI Edge System or the PI System at the Edge has the possibility of PI Archive, Web API, Interfaces, PI AF can be installed. what about SQL Server for AF at the Edge ? OSIsoft recommends to install SQL server at the Edge ? or there are other plans ?