Supervised self-study
Problem-based learning is one approach that fits your description. From wikipedia


  Problem-based learning (PBL) is a student-centered pedagogy in which students learn about a subject through the experience of problem solving. Students learn both thinking strategies and domain knowledge. The goals of PBL are to help the students develop flexible knowledge, effective problem solving skills, self-directed learning, effective collaboration skills and intrinsic motivation. Problem-based learning is a style of active learning.


A related approach is inquiry-based learning, which allows the idea to be used on a much smaller scale than problem-based learning, which, based on what I have read, tends to be rather resource intensive and require vast amounts of planning from the teaching staff.