I'm not certain about the correctness of the comma in your first sentence, although it may be correct with the rest of its context. I would probably have written the first sentence as:
Then we review the related works and, after that, we present our algorithm.
We then review the related works and, after that, present our algorithm.
Other than that, your sentence is correct. Although, as @TRomano said, after that is a little bit informal. If you're looking for more formal alternatives, you might consider:
We then review the related works, after which we present our algorithm.
We review the related works, and thereafter present our algorithm.
Then we review the related words, whereafter we present our algorithm.
Thereafter is a more formal way to say after that, and whereafter is a more formal way to say after which. They are uncommon outside of formal writing, in my experience.