This guy may be a quack, but I believe it's possible. Ever heard of tumo? People say lamas perform/practice this and they can make themselves sweat even when they're half buck naked and surrounded in snow.
Tumo is the Tibetan Buddhist technique of keeping warm.
The technique enables you to keep warm in spite of snow, freezing winds and ice.
Tumo is a meditation that channels mystical heat through the veins, arteries and nerve channels which enables you to remain warm during these freezing conditions.
The Tibetan Buddhists believe that knowledge of Tumo sharpens the mental faculties of perception and intuition.