This is what i knew the parameter to change pwm frequency value.
the library file is call tlc_config.h
/** Determines how long each PWM period should be, in clocks.
\f$\displaystyle f_{PWM} = \frac{f_{osc}}{2 * TLC\_PWM\_PERIOD} Hz \f$
\f$\displaystyle TLC\_PWM\_PERIOD = \frac{f_{osc}}{2 * f_{PWM}} \f$
This is related to TLC_GSCLK_PERIOD:
\f$\displaystyle TLC\_PWM\_PERIOD =
\frac{(TLC\_GSCLK\_PERIOD + 1) * 4096}{2} \f$
\note The default of 8192 means the PWM frequency is 976.5625Hz */
#define TLC_PWM_PERIOD 8192
/** Determines how long each period GSCLK is.
This is related to TLC_PWM_PERIOD:
\f$\displaystyle TLC\_GSCLK\_PERIOD =
\frac{2 * TLC\_PWM\_PERIOD}{4096} - 1 \f$
\note Default is 3 */
#define TLC_GSCLK_PERIOD 3
You can set TLC_PWM_PERIOD to 4096 and TLC_GSCLK_PERIOD to 1 and (if the formulas in the source code are correct) will get a PWM frequency of 1.953125 kHz. At least with this library you won't get to 20kHz PWM frequency without changing major parts.
I am building an Arduino fan controller and plan to use the TLC5940 for PWM so I'm addressing the same issues myself. I think you can set higher PWM frequencies with this library but I haven't been able to test it yet. The key is that the tradeoff for higher frequencies will be a lower step resolution.