Graphs are a prevalent tool in data science, as they model the inherent structure of the data. Typically they are constructed either by connecting nearest samples, or by learning them from data, solving an optimization problem. While graph learning does achieve a better quality, it also comes with a higher computational cost. In particular, the current state-of-the-art model cost is O(n^2) for n samples. In this paper, we show how to scale it, obtaining an approximation with leading cost of O(n log(n)), with quality that approaches the exact graph learning model. Our algorithm uses known approximate nearest neighbor techniques to reduce the number of variables, and automatically selects the correct parameters of the model, requiring a single intuitive input: the desired edge density.