The recently developed density matrix quantum Monte Carlo (DMQMC) algorithm stochastically samples
the N-body thermal density matrix and hence provides access to exact properties of many-particle quantum
systems at arbitrary temperatures. We demonstrate that moving to the interaction picture provides substan-
tial benefits when applying DMQMC to interacting fermions. In this first study, we focus on a system of
much recent interest: the uniform electron gas in the warm dense regime. The basis set incompleteness error
at finite temperature is investigated and extrapolated via a simple Monte Carlo sampling procedure. Finally,
we provide benchmark calculations for a four-electron system, comparing our results to previous work where
possible.