  In this paper, we consider the optimization problem of minimizing a
continuously differentiable function subject to both convex constraints and
sparsity constraints. By exploiting a mixed-integer reformulation from the
literature, we define a necessary optimality condition based on a tailored
neighborhood that allows to take into account potential changes of the support
set. We then propose an algorithmic framework to tackle the considered class of
problems and prove its convergence to points satisfying the newly introduced
concept of stationarity. We further show that, by suitably choosing the
neighborhood, other well-known optimality conditions from the literature can be
recovered at the limit points of the sequence produced by the algorithm.
Finally, we analyze the computational impact of the neighborhood size within
our framework and in the comparison with some state-of-the-art algorithms,
namely, the Penalty Decomposition method and the Greedy Sparse-Simplex method.
The algorithms have been tested using a benchmark related to sparse logistic
regression problems.
