How to do validation in the WordPress theme customizer

I am developing a WordPress theme and I am working on the theme customizer for the theme options. I want to validate the inputs and to show an alert if the validation fails in the theme customizer.

This is what I have tried

$wp_customize->add_setting('custom_social_settings[facebook]',array(
          'default' => '',
          'type' => 'option',
          'sanitize_js_callback' => 'check_url'
         ));

function check_url(){
    ?>
    <script>
        jQuery(document).ready(function(){
             // My validation script
        });
    </script>

    <?php
}

The problem is when I load the page sanitize_js_callback gets executed twice. When will be the sanitize_js_callback will be invoked? It should be invoked only when I click the save button. Should I write script for the click event of the save button. Is there any better way to do validation in WordPress theme customizer? How to do a typical form validation in WordPress theme customizer?

Thanks in advance