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There is an an algorithm for sampling from a canonical distribution which makes a Markov chain that has the canonical distribution as its limit, and just runs that Markov chain for a while. States in this Markov chain can go up or down in energy, which seems to me like the Markov chain is precisely the system attached to a heat bath.
It sounds like you're talking about the Metropolis algorithm.
Is that what you're talking about?
Yes, exactly