Distance is a widely used measure in engineering and researching field. The advantages and disadvantages of some
distances are analyzed in Euclidean space. Because the Mahalanobis distance is influenced by the dimension and it has great
performance of dealing with related data, the weighted Moore-Penrose(WMP) Mahalanobis distance is defined according to
WMP pseudoinverse, whose formula is given by singular value decomposition(SVD) and spectral decomposition of matrices.
The academic analysis and simulation show that it not only overcomes the disadvantages of non-existence in Mahalanobis
distance, but has its own special performances.