Let me start by saying (and this is my very humble opinion), that you should have planned ahead a little more before buying this fish. You have bought one of the most beautiful and most difficult to keep aquarium fish.
I have kept this fish before, and I have gotten 2 to eat. Two others died.
With that said, I recommend that for the first month, you keep this fish in a tank by itself. They are very shy at first, but once settled down and eating, they are very "scrappy."
I would recommend that you start off by buying some live clams or mussels at the seafood market. Break one open and put it in the tank w/ the regal, then leave. Come back later to peek in at the fish and see if it is eating. I have found that they also like Piscene Energetic mysis shrimp.
Put the fish in the funkiest must algae overgrown tank you have.
It may take a MONTH before you see this fish eat.
If you don't have a separate aquarium, you are asking for it. The regal won't fight other fish for the food. You can still try the clam/mussel trick though.
Let us know what happens.
Cheers
James Wiseman