>>i want to use connect live option and also after publishing the report online how should i connect the report and data source what option i have ?
Yes, Azure analysis server support connect live mode.
>>do i have to usea gateway or there will be connect live option
This will based on your datasource type. (online: connect live; on premise: need gateway to refresh)
For detailed information you can refer to below link:
Connecting Power BI to an Azure Analysis Services server
Community Support Team _ Xiaoxin
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