I would like to homebrew a 20mfd/4'000v capacitor for linear power
supply.

David-

My first thought was to take ten 200mfd/450v electrolytics and wire them in
series, each capacitor with a parallel resistor to ensure equal voltage
division.

The problem is that you may not find a single electrolytic capacitor with that
high a voltage. Even if an electrolytic's voltage is determined by stressing
them to a higher value, there may be a limit well below 4KV.

You need to do a lot of research in physics and/or chemistry if you're serious
about homebrewing such an electrolytic. The usual approach is to construct
such a high voltage capacitor using a porous oil-soaked dielectric material
("oil filled capacitor").

73, Fred, K4DII