Multi-objective evolutionary algorithm based on decomposition (MOEA/D) is effective to solve most multi-objective optimization problems (MOPs) in the past 20 years. However, the algorithm MOEA/D with constant weight vectors has bad performance in solving several MOPs with discontinuous Pareto front (PF). This paper analyses the limitations of the constant weight vectors in MOEA/D and explains the necessity of adjusting the weight vectors in the processing. This paper proposes a weight vector adjustment method for MOEA/D (MOEA/D-WVA). It deletes the weight vectors which have bad search direction, and adds some new weight vectors in the processing. Experimental studies are conducted on several MOPs with discontinuous PF to compare the MOEA/D-WVA with other state-of-the-art multi-objective optimization algorithms in solving those MOPs with complex PF. The results show MOEA/D-WVA performs better than other algorithms on those MOPs with discontinuous PF.