AnalysisServices: The remote server returned an error: (407) Proxy Authentication Required

I did try that but unfortunately it does not work.. but we got the solution for the issue

We have to use Proxy server instead of Automatic Configuration script...Used public IP to connect with Azure Analysis service.

Below are the steps followed, hope somebody else can benifit from this:

Go to Internet Options -> Connections -> LAN Settings 

below settings were implemented when we were not able to connect:

Then instead of Automatic Configuration Script selected Proxy server -> Go to Advanced and enter the Public IP and Port  and check the checkbox as displayed in below snapshot:

 Click Ok and we are able to connect to Azure Analysis Service.

Thanks and Happy Learning !!!!