We propose a full optimization procedure for designing mantle cloaks enclosing arbitrary objects, using sub-wavelength conformal frequency selective surface (FSS). Rely on the scattering cancellation principle of mantle cloak characterized by an average surface reactance, a personal computer can achieve this design procedure. By combing a Bayesian optimization (BO) with an electromagnetic solver, we can automatically find the optimal parameters of a conformal mantle cloak which can nearly cancel the scattering from the enclosed objects. It is shown that the results obtained by our method coincide with those from a rigorous analytical model and the numerical results by full parametric scanning. The proposed methodology opens up a new route for realizing ultra-wideband illusion scattering of electromagnetic wave, which is important for stealth and microwave applications.