What would you like to be added:

We need to improve our CI to automatically check that we don't have broken links in the .md files. There are two different pieces of markdown we need to check:

• plain .md files, such as the ones under /geps: we should check both internal and external links
• documentation built with mkdocs: internal links are already checked by the tool; we need to check external links.

Why this is needed:

To improve our documentation robustness.