[CI] Add check-links.yml

.github/workflows/check-links.yml

@@ -0,0 +1,22 @@
+name: Check Markdown links
+
+on:
+  workflow_dispatch:
+  push:
+    paths:
+      - '.github/workflows/check-links.yml'
+      - '**/*.md'
+
+  pull_request:
+    paths:
+      - '.github/workflows/check-links.yml'
+      - '**/*.md'
+
+jobs:
+  markdown-link-check:
+    runs-on: ubuntu-latest
+    steps:
+    - uses: actions/checkout@master
+    - uses: gaurav-nelson/github-action-markdown-link-check@v1
+      with:
+        use-quiet-mode: 'yes'