This paper considers the smooth bilevel optimization in which the lower-level problem is strongly convex and the upper-level problem is possibly nonconvex. We focus on the stochastic setting where the algorithm can access the unbiased stochastic gradient evaluation with heavy-tailed noise, which is prevalent in many machine learning applications, such as training large language models and reinforcement learning. We propose a nested-loop normalized stochastic bilevel approximation (N$^2$SBA) for finding an $ε$-stationary point with the stochastic first-order oracle (SFO) complexity of $\tilde{\mathcal{O}}\big(κ^{\frac{7p-3}{p-1}} σ^{\frac{p}{p-1}} ε^{-\frac{4 p - 2}{p-1}}\big)$, where $κ$ is the condition number, $p\in(1,2]$ is the order of central moment for the noise, and $σ$ is the noise level. Furthermore, we specialize our idea to solve the nonconvex-strongly-concave minimax optimization problem, achieving an $ε$-stationary point with the SFO complexity of~$\tilde{\mathcal O}\big(κ^{\frac{2p-1}{p-1}} σ^{\frac{p}{p-1}} ε^{-\frac{3p-2}{p-1}}\big)$. All the above upper bounds match the best-known results under the special case of the bounded variance setting, i.e., $p=2$. We also conduct the numerical experiments to show the empirical superiority of the proposed methods.

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