[Github Action] Support to check markdown links action

.github/workflows/pull_request.yaml

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+# Licensed to the Apache Software Foundation (ASF) under one or more
+# contributor license agreements.  See the NOTICE file distributed with
+# this work for additional information regarding copyright ownership.
+# The ASF licenses this file to You under the Apache License, Version 2.0
+# (the "License"); you may not use this file except in compliance with
+# the License.  You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+name: Check Markdown links
+
+on: pull_request
+
+jobs:
+  markdown-link-check:
+    runs-on: ubuntu-latest
+    steps:
+    - uses: actions/checkout@master
+    - uses: gaurav-nelson/[email protected]
+