When the Hirshhorn Museum told Laurie Anderson that it wanted to put on a big, lavish retrospective of her work, she said no. For one thing, she was busy and has been for roughly 50 years. Over the course of her incessant career, Ms. Anderson has done just about everything a creative person can do. She helped design an Olympics opening ceremony, served as the official artist in residence for NASA, made an opera out of “Moby-Dick” and played a concert for dogs at the Sydney Opera House. And she is still going. On top of all this, Ms. Anderson had philosophical qualms about a retrospective. She is 74, which seems like a very normal age to stop and look back, and yet she seems determined, at all times, to keep moving forward.