In this video, Adam revisits the On-Premises Data Gateway to help get you up and running with it. This was looked at a year and a half ago and things have changed. The On-Premises Data Gateway can be used with Power BI along with other services like Azure Analysis Services, Microsoft Flow, and PowerApps. Install one gateway and use it with all supported services.
Guidance for deploying a data gateway for Power BI
Use Kerberos for SSO (single sign-on) from Power BI to on-premises data sources