Large-scale screenings of cancer cell lines with detailed molecular profiles against libraries of pharmacological compounds are currently being performed in order to gain a better understanding of the genetic component of drug response and to enhance our ability to recommend therapies given a patients molecular profile. These comprehensive screens differ from the clinical setting in which (i) medical records only contain the response of a patient to very few drugs, (ii) drugs are recommended by doctors based on their expert judgment and (iii) selecting the most promising therapy is often more important than accurately predicting the sensitivity to all potential drugs. Current regression models for drug sensitivity prediction fail to account for these three properties.