Swap the two black relays in the underhood fuse block to test to see if it's the HDM module. The HDM solid state relay is a common failure. Use of ACDelco only is my recommendation, aftermarkets tend to overheat and I've seen them melt fuse blocks.
If the relay swap doesn't work, try new bulbs. It's not unheard of for both bulbs to go bad at the same time. Also, never touch the glass with your fingers. The oil from your fingers can cause hot spots and short bulb life.