Typically it means 'a self-taught wizard', brought to us through several layers. 1: The real world/romantic concept of the 'knight errant', a masterless knight who traveled the countryside doing heroics. 2: Sometimes this person wouldn't actually be a knight by title, but instead have equipped themselves by some other means. 3: Song of Ice and Fire referring to such people as 'hedge knights' for their propensity for traveling through the countryside and sleeping under hedges. 4: 'What if that, but with magic'.