The combined cooling, heating and power (CCHP) system not only has high energy efficiency but also has different load structures. Traditional separate production (SP) system and power supply system do not consider the land cost in terms of the environmental benefits, and in the aspect of the power supply reliability, the grid-connected inverter cost is also ignored. Considering the deficiency of the traditional energy supply system, this paper builds the CCHP system construction cost model. The particle swarm optimization (PSO) is adopted to find out the minimum value of the construction cost, and the optimal system construction scheme is constructed from three aspects which are system reliability, economic benefits and environmental benefits. In this paper, the typical daily data, as well as the meteorological data and the load data, in the last four years are taken as experimental dataset. The experimental results show that compared with the traditional SP system and power supply system, the CCHP system established in this paper not only achieves lower cumulative investment cost, but also has a good power supply reliability and environmental benefits.