Bleeder screws are on part that penetrating oils works well with, the threads are not sealed with a washer, bolt head or gasket, they are fully exposed. Not all penetrating oils are created equal, some are much better than others, the best way to use it is to leave it overnight if possible and spray it multiple times.
This is a old trick, find a drill bit end (not the cutting end) that fits snug in the bleeder hole, once you find one that fits well get some cheap junk bits from Amazon or HF and put it down the hole and break it off in the bleeder, the firms the bleeder up so it doesnt collapse in on itself.
First you can try putting on a wrench and tapping it lightly with hammer quite a few times, do not put a lot of torque on it, you want to shock it loose, this will usually get them. Once it moves spray some penetrant on it and tighten it slightly then loosen again.
If that doesnt get it the shake and break tool that have been posted works like a champ but you need a compressor and air hammer, a small hammer is best not a huge thing.
Personally I do not like taking heat to a caliper there is too many rubber components on and around that can be damaged. I have not broke a bleeder in many years and I deal with rotten stuff sometimes on antique Euro cars that calipers can no longer be found and must be rebuilt. So don't take them claiming the bleeders are going to break too seriously.
Replace the bleeders with new ones and put some nickel anti seize on the treads only and do not over tighten them, they only need to be snug to seal, you will never have this trouble again. I use stainless speed bleeders from this company if available or OE.