As the Web of Linked Open Data is growing the problem of crawling that cloud becomes increasingly important. Unlike normal Web crawlers, a Linked Data crawler performs a selection to focus on collecting linked RDF (including RDFa) data on the Web. From the perspectives of throughput and coverage, given a newly discovered and targeted URI, the key issue of Linked Data crawlers is to decide whether this URI is likely to dereference into an RDF data source and therefore it is worth downloading the representation it points to. Current solutions adopt heuristic rules to filter irrelevant URIs. Unfortunately, when the heuristics are too restrictive this hampers the coverage of crawling. In this paper, we propose and compare approaches to learn strategies for crawling Linked Data on the Web by predicting whether a newly discovered URI will lead to an RDF data source or not. We detail the features used in predicting the relevance and the methods we evaluated including a promising adaptation of FTRL-proximal online learning algorithm. We compare several options through extensive experiments including existing crawlers as baseline methods to evaluate their efficacy.