anonymous user
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If these users are available only in on-premises domain, then there is no option for users to change/reset the password without connecting to your on-premiese environment with VPN.
If users are synced to Azure AD using AD connect, then there is an option (SSPR - Self-service password reset) in Azure AD, that users can use and have their password change/reset.
This feature allows users to change/reset their password from cloud via internet. This password will be picked using AD connect and will be written back to on-premises. This way even on-premises password will also get changed/reset.
To know more about AD connect and SSPR you can refer below articles,
AD connect -- https://learn.microsoft.com/en-us/azure/active-directory/hybrid/whatis-azure-ad-connect
AD connect installation -- https://learn.microsoft.com/en-us/azure/active-directory/hybrid/how-to-connect-install-express
SSPR -- https://learn.microsoft.com/en-us/azure/active-directory/authentication/howto-sspr-deployment
Enabling SSPR -- https://learn.microsoft.com/en-us/azure/active-directory/authentication/tutorial-enable-sspr
Do let me know if you have any further questions on this.
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