Neural language models have been widely used in various NLP tasks, including machine translation, next word prediction and conversational agents. However, it is challenging to deploy these models on mobile devices due to their slow prediction speed, where the bottleneck is to compute top candidates in the softmax layer. In this paper, we introduce a novel softmax layer approximation algorithm by exploiting the clustering structure of context vectors. Our algorithm uses a light-weight screening model to predict a much smaller set of candidate words based on the given context, and then conducts an exact softmax only within that subset. Training such a procedure end-to-end is challenging as traditional clustering methods are discrete and non-differentiable, and thus unable to be used with back-propagation in the training process. Using the Gumbel softmax, we are able to train the screening model end-to-end on the training set to exploit data distribution. The algorithm achieves an order of magnitude faster inference than the original softmax layer for predicting top-k words in various tasks such as beam search in machine translation or next words prediction. For example, for machine translation task on German to English dataset with around 25K vocabulary, we can achieve 20.4 times speed up with 98.9% precision@1 and 99.3% precision@5 with the original softmax layer prediction, while state-of-the-art (Zhang et al., 2018) only achieves 6.7x speedup with 98.7% precision@1 and 98.1% precision@5 for the same task.