Set the thermostat function switch to “Heat” instead of “Auto,” which will start the furnace and keep the furnace operating at the set temperature on a steady basis instead of shutting down when the thermostat setting is reached.
If the thermostat is set to "Auto," adjust the thermostat temperature at least 5 or 10 degrees higher than the ambient temperature in order for the furnace to start independently. Setting the thermostat to the same point as the current air temperature or lower will not cause the furnace to call for heat, which is what starts the furnace without a manual restart.
Find the adjustment screw on the gas valve and remove the cap, then turn the adjustment screw to the right to increase the size of the pilot light. Sometimes the pilot light is too low, which causes the furnace to stop operating once the furnace is started and the pilot light is lit. Ensure that the pilot light touches both sides of the thermocouple, which is the bracket that surrounds the pilot light.
Let the furnace cool, disconnect power and open the access panel, then clean the burner orifice, the flame sensor and the blower wheel to remove dirt and debris with a can of compressed air. Do not touch the burner itself and use caution not to damage any of the internal components.