Often the people who did this kind of thing do most of their actual learning by themselves. That's not to say they don't learn from school, they do. The school part is very helpful to fill gaps. In graduate school it can be the same way. You are allowed to take graduate level school courses. It's also normal that you can quickly get up to speed by taking some 400 level undergrad courses in your new area after you have been accepted to the program. Once the actual new research begins, the things you learn for your research project are from reading papers like on arxiv and by doing your own experiments, so continuing official coursework doesn't matter so much at that point.
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Often the people who did this kind of thing do most of their actual learning by themselves. That's not to say they don't learn from school, they do. The school part is very helpful to fill gaps. In graduate school it can be the same way. You are allowed to take graduate level school courses. It's also normal that you can quickly get up to speed by taking some 400 level undergrad courses in your new area after you have been accepted to the program. Once the actual new research begins, the things you learn for your research project are from reading papers like on arxiv and by doing your own experiments, so continuing official coursework doesn't matter so much at that point.