Abstract: Motivated by pricing applications in online advertising, we study a variant of linear regression with a discontinuous loss function that we term Myersonian regression. In this variant, we wish to find a linear function $f : \mathbb{R}^d \rightarrow \mathbb{R}$ that well approximates a set of points $(x_i, v_i) \in \mathbb{R}^d \times [0, 1]$ in the following sense: we receive a loss of $v_i$ when $f(x_i) > v_i$ and a loss of $v_i - f(x_i)$ when $f(x_i) \leq v_i$. This arises naturally in the economic application of designing a pricing policy for differentiated items (where the loss is the gap between the performance of our policy and the optimal Myerson prices). We show that Myersonian regression is NP-hard to solve exactly and furthermore that no fully polynomial-time approximation scheme exists for Myersonian regression conditioned on the Exponential Time Hypothesis being true. In contrast to this, we demonstrate a polynomial-time approximation scheme for Myersonian regression that obtains an $\epsilon m$ additive approximation to the optimal possible revenue and can be computed in time $O(\exp(\mathrm{poly}(1/\epsilon))\poly(m, n))$. We show that this algorithm is stable and generalizes well over distributions of samples.