WiFi issue: it possible to change WiFi settings in way it not switch off in screen-lock mode

I have iPhone 4 and 4s. WiFi is automatically switching off on both phones when they are inactive (screens are locked). It is connecting back after some seconds I unlocke the phone. But because I have no subscribtion for the Cellular data usage, I am being cuted from Internet all screen-locked period. All that time people are not able to reach me by email, skype, or other programs using Internet. It is quite uncomfortable, especially when waiting for something important!  Is there a way to change this setting?