for (i in 1:20035){
  sds <- get_subdatasets(files[i])
  gdal_translate(sds[1], dst_dataset = filename[i])
}

Error in split1[[1]] : subscript out of bounds
In addition: Warning message:
running command '"C:OSGeo4Wbingdalinfo.exe"
"MYD10A1.A2003177.h09v04.006.2016071002205.hdf"' had status 1