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SSAS connection using SSAS connector to Server on another domain fails

The domain on which I have an office365 account, which I use for powerbi,  is different from the analysis services server I am trying to connect to. 


So my powerbi account is:


While i have a local account on my server which is :



When configuring the SSAS connection it says It can not login on the server as it simply does not know "mydomain". What is the easiest way to accept this user? I am thinking about some kind of proxy


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