Galaxy S4 download stops when screen is off

I'm having this problem with my Samsung Galaxy S4. When ever I download something from the Internet and turn off the screen the download fails as soon as I turn it back on. I have tried other browsers like Chrome and Dolphin Browser but all stops downloading when the screen turns off/ times out. It downloads perfectly when the screen is on all throughout the download. This is a bit of a problem when downloading something big. I am using only 3G.