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As SDM is default in Integrated Mode, first you have to take it to Standalone Mode and after changing password take it back to Integrated Mode.

WINDOWS 

1. Access (RDP,VNC,RADMIN,..) system with <sid>adm user.
2. Open Command Prompt
3. Go to SDM Root folder with : cd <drive>:\usr\sap\<SID>\JC<no>\SDM\program\
4. Take SDM to Standalone Mode: sdm jstartup "mode=standalone"
5. Change SDM Password: sdm changepassword "sdmhome=<drive>:\usr\sap\<SID>\JC<no>\SDM\program" "newpassword=<newpassword>"
6. Take SDM to Integrated Mode: sdm jstartup "mode=integrated"

UNIX

1.  Access (Telnet, SSH, DT, XWindows) system with <sid>adm user.
2. Open Terminal Window
   
3. Go to SDM Root folder with : cd /usr/sap/<SID>/JC<no>/SDM/program
4. Take SDM to Standalone Mode: sdm.sh jstartup mode=standalone
5. Change SDM Password: sdm changepassword sdmhome=/usr/sap/<SID>/JC<no>/SDM/program newpassword=<newpassword>
6. Take SDM to Integrated Mode: sdm.sh jstartup mode=integrated