Orthogonal frequency division multiplexing with index modulation (OFDM-IM) is a newly proposed technique, which achieves significantly improved performance in comparison with classical OFDM by using the indices of active subcarriers to carry additional information bits. In this paper, we propose two power allocation (PA) algorithms for the sake of further improving the bit error rate (BER) performance of conventional OFDM- IM system. The optimal PA algorithm is proposed by minimizing the pairwise error probability (PEP). Moreover, a suboptimal PA (SPA) algorithm is developed by optimizing the normalized minimum Euclidean distance (MED) instead of the PEP metric, in order to reduce the complexity of calculation. Simulation results show that with the aid of PA algorithms, significant performance gains can be achieved over conventional OFDM-IM systems.