Step 1: Understanding the Scheme Name
The name of the scheme includes "Lokamata Devi Ahilya Bai Holkar", a historically revered queen of the Malwa region in India. She is especially celebrated in the state of Madhya Pradesh.
Step 2: Linking the Name to the State
Ahilya Bai Holkar ruled from the city of Indore, which is located in present-day Madhya Pradesh. Many welfare schemes in Madhya Pradesh are named after her, as a mark of respect.
Step 3: Objective of the Scheme
This scheme aims to promote entrepreneurship and self-employment, particularly focusing on women and youth. The Madhya Pradesh government launched it to provide skill training and economic empowerment opportunities.
Step 4: Elimination of Incorrect Options
Gujarat, Rajasthan, and Uttar Pradesh do not have a flagship scheme by this specific name.
Madhya Pradesh is historically and administratively associated with Ahilya Bai Holkar and has introduced this scheme officially.
Therefore, the correct answer is: Madhya Pradesh.