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Yes you should be able to do that by setting up the proxy connection in Settings->Connections tab->Connections icon.
Under the My Work Network there is a "set up my proxy server" link. Click that and enter the information. Then exit out of that and go to the Wifi icon. Click on the SSID name of the network you want to join. In the "Connects to" dropdown box choose "Work".
That should work.
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