Add GitHub action to verify doc links (#357)

Signed-off-by: Rafael Vasquez <[email protected]>

.github/workflows/verify-links.yml

@@ -0,0 +1,38 @@
+# Copyright 2021 The MLX Contributors
+#
+# SPDX-License-Identifier: Apache-2.0
+
+name: Verify Links
+
+on:
+  push:
+    branches: 
+    - main
+
+    tags:
+    - v*
+
+  pull_request:
+
+jobs:
+  check-links:
+    runs-on: ubuntu-latest
+    strategy:
+      matrix:
+        python-version: [3.7]
+    steps:
+      - name: Checkout
+        uses: actions/checkout@v2
+
+      - name: Set up Python ${{ matrix.python-version }}
+        uses: actions/setup-python@v2
+        with:
+          python-version: ${{ matrix.python-version }}
+
+      - name: Install dependencies
+        run: pip install requests
+
+      - name: Link check
+        run: |
+          ./tools/python/verify_doc_links.py
+