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If you are running a production installation of Jenkins on a Windows box, it is essential to have it running as a Windows service. This way, Jenkins will automatically start whenever the server reboots, and can be managed using the standard Windows administration tools.
One of the advantages of running Jenkins on an application server such as Tomcat is that it is generally fairly easy to configure these servers to run as a Windows service. However, it is also fairly easy to install Jenkins as a service, without having to install Tomcat.