Add Lychee Doc Links Check to Local and CI (#19742)

Co-authored-by: Zijie Xia <zijie_xia@icloud.com>
Co-authored-by: Zijie Xia <zijiexia@users.noreply.github.com>
Co-authored-by: zijiexia <37504505+zijiexia@users.noreply.github.com>

.pre-commit-config.yaml

@@ -81,3 +81,16 @@ repos:
         language: system
         files: ^\.github/CI_PERMISSIONS\.json$
         pass_filenames: false
+  - repo: https://github.com/lycheeverse/lychee.git
+    rev: lychee-v0.22.0
+    hooks:
+      - id: lychee
+        name: check doc links (offline)
+        args: ["--config", ".github/linters/lychee.toml"]
+        stages: [manual]
+        exclude: ^docs/_build/
+        files: |
+          (?x)^(
+            README\.md|
+            docs/.*\.(md|rst|ipynb)
+          )$