/diy/ - Do It Yourself

I'm trying to use an OLED display with an arduino pro micro. The pro micro has a stable 5V output, but the documentation for the display says that it should be supplied with 2.5V ~ 4.7V. I think I could just use a 5V input and it won't matter but I tried to do it properly and got a voltage regulator (LM3940) to drop the voltage down to 3.3V. But, depending on the current drawn ( = the amount of lit pixels) the output voltage from the voltage regulator fluctuates between around 3.3V and 2.5V. And when the voltage is low, the screen dims, so it's annoying. When I'm using the 5V output directly its doesn't fluctuate. And I know the display works at 3.3V cos I've also used it with another MCU that has a 3.3V output.
What am I doing wrong here.