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How to access SSAS on an Azure VM from on premise machine?

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Deploy an SSAS 2012 cube on a Windows Azure, enable HTTP access to SSAS via  msmdpump.dll. 

If Anonymous authentication is enabled in IIS, no issue accessing SSAS from on premise Excel;

If Anonymous authentication is disabled in IIS, got the following error:  

My question: Is there any way to use Windows/Basic authentication to access the SSAS database?



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