How do you keep Mobile Hotspot on During sleep?
And, It looks like I found the solution. It appears that when the screen is off, Wifi was scanning. Since Wifi can't be turned on when the mobile hotspot is turned on at the same time, it would stop transmitting the hotspot signal. 

Solution:
Settings>Network &amp; Internet>Wifi>Wi-fi Preferences Turn off Automatic Connection to AT&amp;T Wifi Hotspot.
Settings>Network &amp; Internet>Wifi>Scanning Settings Turn off Wi-Fi Scanning