Correct Option: D. Data collection: This is the foundational step in solving a machine learning problem, especially under the given constraints. It involves gathering raw data from various sources in a compliant manner, which is essential for training and testing models. Without data, subsequent steps in the machine learning pipeline cannot proceed.

Incorrect Options: A. Model training: This step occurs after data pre-processing. It involves using the prepared data to train the machine learning models but is not the initial step. B. Data pre-processing: This step follows data collection. It includes cleaning, transforming, and preparing the collected data for analysis and model training but cannot commence without data. C. Model evaluation: This is performed after the model has been trained. It involves assessing the model's performance using various metrics to ensure it meets the desired objectives but is not an initial step. E. Both A and C are steps that come later in the pipeline and are not initial steps.