How can I have a script owned as root and run as root by a user: setuid? stickey bit?
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Well, you can re-write your script as a C program or something like that, and then build that. Of course that might be trivial or a pain in the rear depending on what it does, and your C coding skills.
Most modern Linux distros have sudo installed as standard, so if you can't accomplish what you want to do anther way, it is probably less hassle than writing your script as a C program.