Fractal dimension, a measure of geometric complexity, finds application in image analysis, biology and medicine, neuroscience, geology and various other fields, yet existing methods often lack adaptability to finite data sets. Using ideas rooted in geometric measure theory, such as Hausdorff measure and Frostman’s Lemma, this research introduces a novel approach to compute fractal dimensions for finite sets, addressing limitations of traditional methods. Using Python, we developed and tested an algorithm to validate known sets such as the unit interval, square, cube, and fractal objects including the Cantor set and Sierpinski triangle. Comparative analysis was also conducted on established methods, including box-counting and correlation integral algorithms, to demonstrate the algorithm's accuracy in determining fractal dimensions. Pivoting towards data sets, we expect to use the computed fractal dimension of real data as a tool for assessing data and optimizing data compression. Our methods offer an improvement as most existing techniques use statistical methods that are limited to integer dimensions. In addition, recent studies have shown that fractal dimension values can be useful as features in machine learning. We also improve upon the calculation of the local dimension of regions in a data set, allowing for additional insights into complex data sets. This includes identifying regions of high complexity, and we expect to show that this allows for the more effective use of algorithms such as principal component analysis. All of these are increasingly important in our society due to the abundance of high-dimensional datasets in both the physical and social sciences. Overall, the benefits of studying novel ways of calculating the dimension of large data sets include efficient representation of data, improved interpretability, and decreased computational burden, as well as detecting certain features in data such as regions of high complexity.