For one thing, you can't just change the locks. You need to proceed to file and serve the tenant with a summons and complaint for eviction. I recommend you see a lawyer who specializes in representing residential tenants.
The only way to get rid of your tenant is by forcible entry and detainer - commonly known as eviction. You have already unsuccessfully attempted self-help and what you did was wrong. Your tenant is also wrong not to provide you a key. You are best served by retaining the services of a seasoned eviction attorney.
I agree with the above answers. One other possibility is to offer them money to move out. If you consider how much time and money it takes to evict your tenants, maybe an offer to move out by a certain date for certain amount of cash would help you out. There is no guarantee that they will agree, but it might be worth a try. If not, start of by serving them with the proper notice. Good luck.